Bond Duration and Immunization: Early Developments and Recent Contributions

ISBN-13: 9781138504356 / Angielski / Twarda / 2017 / 310 str.

Opis

First published in 1982, Bond Duration and Immunization is a collection of seminal papers featuring articles from high profile academics such as Frederick McCaulay, John Hicks, and F.M. Redington. This collection also features several articles published in British actuarial journals often unavailable outside of the UK, and a strong collection of articles which contextually offer a significant contribution to the field. This strong collection will appeal to anyone working or researching in the area of bond duration and immunization.

Spis treści

1. Bond Duration and Immunization: An Introduction and a Bibliographical Index  Part I: Bond Duration  2. Some Theoretical Problems Suggested by the  Movement of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856  3. On the Mathematics of Macaulay’s Duration  4. Value and Capital  5. Bond Price Volatility and the Term to Maturity: A Generalized Specification  6. A ‘Duration’ Fallacy  7. Duration Forty Years Later  8. Duration and Risk Assessment for Bonds and Common Stocks: A Note  Part II: Immunization  9. Review of the Principles of Life-Office Valuations  10. Immunization  11. Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies  12. Immunization, Duration, and the Term Structure of Interest Rates  13. A Practical Approach to Applying Immunization Theory  14. Immunization Under Stochastic Models of the Term Structure

O autorze

Gabriel Hawawini is Professor of Finance at INSEAD University, Singapore