Bond Immunization for Affine Term Structures

Joel R Barber

The Financial Review, 1999, vol. 34, issue 2, 127-40

Abstract: This paper generalizes a number of important immunization theorems. We show that the Fisher and Weil immunization, Bierwag and Khang minimax, Redington multiple liability, and Bierwag, Kaufman, and Toevs coverage theorems can be generalized to the class of affine term structures. This class of term structures contains many models that are commonly used in the finance literature. Copyright 1999 by MIT Press.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:34:y:1999:i:2:p:127-40

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