The Performance Of Alternative Interest Rate Risk Measures And Immunization Strategies Under A Heath-Jarrow-Morton Framework

Doctoral thesis OPEN
Agca, Senay;
(2002)
  • Publisher: Virginia Tech
  • Subject: Immunization Strategies | Portfolio Formation Strategies | Term Structure Models | Arbitrage-free Pricing | Interest Rate Risk Measures
    mesheuropmc: education

The Heath-Jarrow-Morton (HJM) model represents the latest in powerful arbitrage-free technology for modeling the term structure and managing interest rate risk. Yet risk management strategies in the form of immunization portfolios using duration, convexity, and M-square... View more
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