Communications in Mathematical Finance

On Directional Immunization and Exact Matching

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• Abstract

  The rigorous version of Redington's theorem by Montrucchio and Peccati [12] is shown to be valid in a multivariate framework. It provides necessary and sufficient conditions for immunizing a fixed-income portfolio of assets and liabilities against a fixed non-parallel shift direction of the term structure of interest rates. As a consequence, immunization against all possible shift directions leads necessarily to an exact matching strategy.