- Tytuł:
- Shifts of the term structure of interest rates against which a given portfolio is preimmunized
- Autorzy:
-
Rzadkowski, G.
Zaremba, L. S. - Powiązania:
- https://bibliotekanauki.pl/articles/969902.pdf
- Data publikacji:
- 2010
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
immunization
term structure of interest rates
polynomial shifts
Hilbert space approach - Opis:
- In this paper we formulate an immunization problem, which is rarely stated. Instead of reconstructing an existing bond portfolio B with the aim of securing a desired amount of, say L dollars, q years from now, against uncertain future interest rates shifts (under various, sometimes strong assumptions), we identify the shifts of the current term structure of interest rates against which portfolio B is already preimmunized. We state this problem in two different mathematical settings, and solve it with the help of Proposition 2 from Barber (1999), or, equivalently, Theorem 1 from Rzadkowski and Zaremba (2000). In the first part of this paper shifts are supposed to be polynomials of degree less than a certain number n, while in the second part, where we employ a Hilbert space approach, the shifts are allowed to be continuous functions.
- Źródło:
-
Control and Cybernetics; 2010, 39, 3; 857-865
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł