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On the Fisher-Weil immunization theorem
16 references·2 citing·30 second hop
On the Fisher-Weil immunization theorem (1987)On the Fisher-Weil immunization theoremFrom ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)From ‘Some Theoretical Proble…Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Coping with the Risk of Inter…Handbook of Fixed‐Income Securities (2016)Handbook of Fixed‐Income Secu…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests (1984)Alternative Duration Specific…A Risk Minimizing Strategy for Portfolio Immunization (1984)A Risk Minimizing Strategy fo…The Handbook of Fixed Income Securities (1983)The Handbook of Fixed Income …Innovations in bond portfolio management : duration analysis and immunization (1983)Innovations in bond portfolio…Duration and the Measurement of Basis Risk (1979)Duration and the Measurement …Immunization under stochastic models of the term structure (1978)Immunization under stochastic…Duration Forty Years Later (1978)Duration Forty Years LaterMacaulay's Duration: An Appreciation (1973)Macaulay's Duration: An Appre…Review of the Principles of Life-office Valuations (1952)Review of the Principles of L…The Structure of Interest Rates (1940)The Structure of Interest Rat…Value and Capital (1939)Value and CapitalSome Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856. (1938)Some Theoretical Problems Sug…When can you immunize a bond portfolio? (1998)When can you immunize a bond …A note on Shiu—Fisher—Weil immunization theorem (1991)A note on Shiu—Fisher—Weil im…Theory of rational option pricing (2005)Asymmetric stock market volatility and the cyclical behavior of expected returns (2007)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)An equilibrium characterization of the term structure (1977)Chapter 13 The term structure of interest rates (1990)Default Risk and the Duration of Zero Coupon Bonds (1990)Dynamic Asset Allocation and Fixed Income Management (1999)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates (1989)Implied Equity Duration: A New Measure of Equity Risk (2004)Default and the Maturity Structure in Sovereign Bonds (2012)Liquidity, default, taxes, and yields on municipal bonds (2007)The on-the-run liquidity phenomenon (2009)Do Country-level Investor Protections Affect Security-level Contract Design? Evidence from Foreign Bond Covenants (2011)A Multivariate Model of the Term Structure (1980)Term Structure Modeling Using Exponential Splines (1982)Survey evidence on the ‘rationality’ of interest rate expectations (1980)A Defense of Traditional Hypotheses about the Term Structure of Interest Rates (1986)On biases in tests of the expectations hypothesis of the term structure of interest rates (1997)Self-fulfilling prophecies (1981)The contingent valuation method: a review (2003)Rare Disasters, Asset Prices, and Welfare Costs (2009)Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model (1994)Numerical Valuation of High Dimensional Multivariate American Securities (1995)An empirical analysis of changes in credit rating properties: Timeliness, accuracy and volatility (2008)The Financial Theory of Defined Benefit Pension Schemes (1997)The Cohort Effect: Insights and Explanations (2004)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1939Value and Capital2,893 cited
  • 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’504 cited
  • 2016Handbook of Fixed‐Income Securities407 cited
  • 1952Review of the Principles of Life-office Valuations380 cited
  • 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*305 cited
  • 1940The Structure of Interest Rates236 cited
  • 1979Duration and the Measurement of Basis Risk225 cited
  • 1983The Handbook of Fixed Income Securities193 cited
  • 1978Duration Forty Years Later184 cited
  • 1984A Risk Minimizing Strategy for Portfolio Immunization170 cited
  • 1983Innovations in bond portfolio management : duration analysis and immunization83 cited
  • 1938Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856.71 cited
  • 1978Immunization under stochastic models of the term structure68 cited
  • 1973Macaulay's Duration: An Appreciation67 cited

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  • 1984Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests52 cited
  • Cited by

    • 1998When can you immunize a bond portfolio?40 cited
    • 1991A note on Shiu—Fisher—Weil immunization theorem30 cited