DYNAMIC IMMUNIZATION UNDER STOCHASTIC INTEREST-RATES

The authors employ an arbitrage-free stochastically evolving term stru cture to examine the ability of duration and convexity measures to imm unize dynamically against interest rate risk. The results indicate tha t this approach performs well, and tend to confirm earlier work using more restrictive measures. The more general results presented provide additional justification for the use of immunization strategies in rea l markets.