Hawawini Bond Duration and Immunization

Early Developments and Recent Contributions
Erscheinungsjahr 2017
ISBN: 978-1-351-38110-9
Verlag: Taylor & Francis
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, Band 1, 314 Seiten

Reihe: Routledge Library Editions: Financial Markets

First published in 1982, Bond Duration and Immunization is a collection of seminal papers featuring articles from high profile academics such as Frederick McCaulay, John Hicks, and F.M. Redington. This collection also features several articles published in British actuarial journals often unavailable outside of the UK, and a strong collection of articles which contextually offer a significant contribution to the field. This strong collection will appeal to anyone working or researching in the area of bond duration and immunization.

Autoren/Hrsg.

Hawawini, Gabriel

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein

Inhaltsverzeichnis

1. Bond Duration and Immunization: An Introduction and a Bibliographical Index, (Gabriel Hawawini)

Part I: Bond Duration

2. Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856, (Frederick R. Mccaulay)

3. On the Mathematics of Macaulay’s Duration, (Gabriel A. Hawawini)

4. Value and Capital, (John R. Hicks)

5. Bond Price Volatility and the Term to Maturity: A Generalized Specification, (Michael H. Hopewell and George G. Kaufman)

6. A ‘Duration’ Fallacy, (Miles Livingston and John Caks)

7. Duration Forty Years Later, (Johnathan E. Ingersoll, Jeffrey Skelton and Roman L. Weil)

8. Duration and Risk Assessment for Bonds and Common Stocks: A Note, (John A. Boquist, George A. Racette and Gary S. Schlarbaum)

Part II: Immunization

9. Review of the Principles of Life-Office Valuations, (F.M. Redington)

10. Immunization, (G.E. Wallas)

11. Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies, (Lawrence Fisher and Roman L. Weil)

12. Immunization, Duration, and the Term Structure of Interest Rates, (G.O Bierwag)

13. A Practical Approach to Applying Immunization Theory, (A.D. Sheddon)

14. Immunization Under Stochastic Models of the Term Structure, (P.P. Boyle)

Über Autor(innen)

Gabriel Hawawini is Professor of Finance at INSEAD University, Singapore