Shifts of the term structure of interest rates against which a given portfolio is preimmunized

Grzegorz Rzadkowski; Leszek Zaremba

Control and Cybernetics (2010)

  • Volume: 39, Issue: 3, page 857-865
  • ISSN: 0324-8569

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Rzadkowski, Grzegorz, and Zaremba, Leszek. "Shifts of the term structure of interest rates against which a given portfolio is preimmunized." Control and Cybernetics 39.3 (2010): 857-865. <http://eudml.org/doc/209730>.

@article{Rzadkowski2010,
author = {Rzadkowski, Grzegorz, Zaremba, Leszek},
journal = {Control and Cybernetics},
keywords = {immunization; term structure of interest rates; polynomial shifts; Hilbert space approach},
language = {eng},
number = {3},
pages = {857-865},
title = {Shifts of the term structure of interest rates against which a given portfolio is preimmunized},
url = {http://eudml.org/doc/209730},
volume = {39},
year = {2010},
}

TY - JOUR
AU - Rzadkowski, Grzegorz
AU - Zaremba, Leszek
TI - Shifts of the term structure of interest rates against which a given portfolio is preimmunized
JO - Control and Cybernetics
PY - 2010
VL - 39
IS - 3
SP - 857
EP - 865
LA - eng
KW - immunization; term structure of interest rates; polynomial shifts; Hilbert space approach
UR - http://eudml.org/doc/209730
ER -

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