New Formulas for Immunizing Durations

Review of the Principles of Life-office Valuations

1952 • 375 citations

Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*

2017 • 290 citations

Immunization, Duration, and the Term Structure of Interest Rates

1977 • 171 citations

Bond Immunization When Short-Term Interest Rates Fluctuate More than Long-Term Rates

1979 • 84 citations

Construction of a k-immunization strategy with the highest convexity

1998 • 10 citations

Contemporary Studies in Economic and Financial Analysis

2009 • 8 citations

A Note on the Derivation of Closed-Form Formulas for Duration and Convexity Statistics On and Between Coupon Dates

1998 • 4 citations

How to find a bond portfolio with the highest convexityin a class of fixed duration portfolios

2000 • 2 citations