Geodesic
Generalized duration measures in a risk immunization setting. Implementation of the Heath–Jarrow–Morton model
Alina Kondratiuk-Janyska1 ; Marek Kałuszka2
1 Center of Mathematics and Physics Technical University of /Lód/x Al. Politechniki 11 90-924 /Lód/x, Poland and Institute of Mathematics Technical University of /Lód/x Wólczańska 215 93-005 /Lód/x, Poland
2 Institute of Mathematics Technical University of /Lód/x Wólcza/nska 215 93-005 /Lód/x, Poland
Applicationes Mathematicae, Tome 33 (2006) no. 2, pp. 145-157.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/am33-2-2
Keywords: paper set different lower bounds change expected net cash flow value time general term structure models referring studies fong vasi nawalkha chambers balb among others immunization strategies derived risk measures generalized duration generalized m absolute nawalkha chambers exponential risk measure furthermore examples specific one factor hjm models provided problem immunization discussed

Alina Kondratiuk-Janyska 1 ; Marek Kałuszka 2

1 Center of Mathematics and Physics Technical University of /Lód/x Al. Politechniki 11 90-924 /Lód/x, Poland and Institute of Mathematics Technical University of /Lód/x Wólczańska 215 93-005 /Lód/x, Poland
2 Institute of Mathematics Technical University of /Lód/x Wólcza/nska 215 93-005 /Lód/x, Poland 
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 Implementation of
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 Implementation of
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Alina Kondratiuk-Janyska; Marek Kałuszka. Generalized duration measures
 in a risk immunization setting.
 Implementation of
 the Heath–Jarrow–Morton model. Applicationes Mathematicae, Tome 33 (2006) no. 2, pp. 145-157. doi : 10.4064/am33-2-2. http://geodesic.mathdoc.fr/articles/10.4064/am33-2-2/

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