Scandinavian Working Papers in Economics
Working Paper Series,
Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance
No 13/16: Robust immunization
Fredrik Armerin ()
Additional contact information
Fredrik Armerin: Centre for Banking and Finance, Postal: Centre for Banking and Finance, Royal Institute of Technology, Brinellvägen 1, 100 44 Stockholm, Sweden
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
JEL-codes: G10
15 pages, October 22, 2013
Full text files
WP201316.pdf
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