Immunization derived from a polynomial duration vector in the Spanish bond market

Journal of Banking and Finance

Volumn 25, Issue 6, 2001, Pages 1037-1057

  Soto, Gloria M ^a  

^a UNIVERSITY OF MURCIA   (Spain)

Author keywords

Convexity; Duration; E43; G11; Immunization; Portfolio management; Term structure

Indexed keywords

EID: 0041405733     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00112-6     Document Type: Article

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