Robust immunization

Fredrik Armerin ()
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Fredrik Armerin: Centre for Banking and Finance, Postal: Centre for Banking and Finance, Royal Institute of Technology, Brinellvägen 1, 100 44 Stockholm, Sweden

No 13/16, Working Paper Series from Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance

Abstract: Using Gateuax di erentials we study how the value of a stream of cash flows is changed as the forward rate curve changes. Using this approach we are able to derive an alternative to the standard method of duration matching, and we argue why it better than ordinary duration matching. We also solve the problem of optimally replicating a stream of cash flows with a portfolio of given zero-coupon bonds

Keywords: Cash flow valuation; immunization; Gateuax differentials (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2013-10-22
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