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

• Autorzy: Alina Kondratiuk-Janyska , Marek Kałuszka
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is to set different lower bounds on the change of the expected net cash flow value at time H > 0 in general term structure models, referring to the studies of Fong and Vasiček (1984), Nawalkha and Chambers (1996), and Balbás and Ibáñez (1998) among others. New immunization strategies are derived with new risk measures: generalized duration and generalized M-absolute of Nawalkha and Chambers, and exponential risk measure. Furthermore, examples of specific one-factor HJM models are provided and the problem of immunization is discussed.

Kategorie tematyczne

• 62P20: Applications to economics

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2006
• Tom: 33
• Numer: 2
• Strony: 145-157

Daty

wydano

2006

Twórcy

autor

Alina Kondratiuk-Janyska

• Center of Mathematics and Physics, Technical University of Łódź, Al. Politechniki 11, 90-924 Łódź, Poland
• Institute of Mathematics, Technical University of Łódź, Wólczańska 215, 93-005 Łódź, Poland

autor

Marek Kałuszka

• Institute of Mathematics, Technical University of Łódź, Wólczańska 215, 93-005 Łódź, Poland

Identyfikatory

DOI

10.4064/am33-2-2