1st Edition

Bond Duration and Immunization
Early Developments and Recent Contributions

Edited By

Gabriel Hawawini

ISBN 9781138504363
Published May 28, 2019 by Routledge
314 Pages

USD $39.95

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Book Description

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.

Table of Contents

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)

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