Duration and Immunization

Eliezer Z Prisman

Chapter 4 in Lecture Notes in Fixed Income Fundamentals, 2017, pp 119-169 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This lecture is dedicated to the study of the sensitivity of the price of bonds and portfolios of bonds to the changes in the interest rates. A measure of the sensitivity of bond prices to changes in interest rates, called Duration, was first suggested by Macaulay in 1938. The field of fixed income securities has evolved tremendously since that time and the academic literature now criticizes this measure. As we proceed with the development and understanding of this measure we will also gain an insight into this critique.

Keywords: Fixed Income; Bond Markets; Term Structure of Interest Rates; Forwards; Bond Arbitrage (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2017
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