Immunization is a widely used tool in bond portfolio management, capable of hedging interest rate risk. Its goal, the construction of a portfolio whose value is not negatively affected by a change in the term structure, can contradict no-arbitrage condition. This paper investigates the existence and functional form of shocks that do not lead to arbitrage opportunities.

Bond immunization and arbitrage in the semi-deterministic setting

MORETTO, ENRICO
2007

Abstract

Immunization is a widely used tool in bond portfolio management, capable of hedging interest rate risk. Its goal, the construction of a portfolio whose value is not negatively affected by a change in the term structure, can contradict no-arbitrage condition. This paper investigates the existence and functional form of shocks that do not lead to arbitrage opportunities.
Immunization; arbitrage.
Moretto, Enrico
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11383/20903
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