Immunization in case of proportional shifts in spot rates and mispriced bonds (RB-1995-37-03)

Leszek Saturnin Zaremba

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Title	Immunization in case of proportional shifts in spot rates and mispriced bonds (RB-1995-37-03)
Persons	Authors: Leszek Saturnin Zaremba Partner: Systems Research Institute Polish Academy of Sciences, Warsaw
Description	The paper deals with immunization problem for bonds and treasury bills. It focuses on a case when bonds are over- or under-priced at purchase time. We give a necessary and sufficient condition for solution of the immunization problem. We show, in those cases, when solutions can be reduced to ones known from literature. The results for different cases are presented in a form of theorems and proved. (English)
Keywords	"spot rates"@en, "immunization problem"@en, "mispriced bonds"@en, "kurs spot"@pl, "problem immunizacji"@pl, "błędnie wycenione obligacje"@pl, "bond portfolio"@en, "portfel obligacji"@pl
Classification	Resource type: article, chapter Scientific discipline: Dziedzina nauk społecznych / ekonomia i finanse (2018) Destination group: pupils, students, scientists Harmful content: No
Characteristics	Title of source document: RB-1995-37-03 Place of publication: Warszawa Publisher: IBSPAN Time of publication: 1995 From page: 1 To page: 9 Resource language: English
License	CC BY-SA 4.0
Technical information	Submitter: Anna Wasilewska Availability date: 13-01-2023
Collections	Kolekcja Instytutu Badań Systemowych PAN w Warszawie

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Leszek Saturnin Zaremba. Immunization in case of proportional shifts in spot rates and mispriced bonds (RB-1995-37-03). [article, chapter] Available in Atlas of Open Science Resources, . License: CC BY-SA 4.0, https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl. Date of access: DD.MM.RRRR.

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