Generalized duration measures in a risk immunization setting. Implementation of the Heath–Jarrow–Morton model

DOI10.4064/AM33-2-2zbMATH Open1153.91528OpenAlexW2016761925MaRDI QIDQ3414648

Alina Kondratiuk-Janyska, Marek Kaluszka

Publication date: 10 January 2007

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am33-2-2

zbMATH Keywords

durationimmunization\(M\)-absoluteasset-liability portfolioone-factor HJM models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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