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Immunization under stochastic models of the term structure

Published online by Cambridge University Press:  20 April 2012

P. P. Boyle
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Extract

1.1. The purpose of this paper is to survey some new results concerning the term structure of interest rates and discuss actuarial applications. The term structure of interest rates exhibits the relationship among the yields on default free debt instruments of different maturities. Although there is a considerable volume of literature dealing with the determinants of the term structure the analysis has until recently been presented for the most part in a deterministic (i.e. non-stochastic) framework. This constrasts with the treatment of capital assets where equilibrium prices have been obtained under the assumption that returns on these assets are random variables.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 105 , Issue 2 , September 1978 , pp. 177 - 187
Copyright
Copyright © Institute and Faculty of Actuaries 1978

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References

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