Journal of Mathematical Finance

Vol.6 No.3(2016), Paper ID 69992, 15 pages

DOI:10.4236/jmf.2016.63032

 

Implementation of Stochastic Yield Curve Duration and Portfolio Immunization Strategies

 

Sindre Duedahl

 

Department of Mathematics, University of Oslo, Oslo, Norway

 

Copyright © 2016 Sindre Duedahl et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Duedahl, S. (2016) Implementation of Stochastic Yield Curve Duration and Portfolio Immunization Strategies. Journal of Mathematical Finance, 6, 401-415. doi: 10.4236/jmf.2016.63032.
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