NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
53rd NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
Session ID : 3B21
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OS22-3
Portfolio Insurance on a Bond Portfolio with a fixed Duration
*Ryozo MiuraMasahiro Ishii
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CONFERENCE PROCEEDINGS FREE ACCESS

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Abstract
There are substantial number of academic researches on stock portfolio insurance. However little work has addressed portfolio insurance against yield curve fluctuations. We assume no-arbitrage oppotunities, complete market, and Heath-Jarrow-Morton single factor term structure model, and we derive a portfolio insurance scheme on a constant duration bond portfolio.
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© 2004 Committee for Mechanics and Structure,Science Council
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