Communications in Mathematical Finance
On Directional Immunization and Exact Matching
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The rigorous version of Redington's theorem by Montrucchio and Peccati  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.
ISSN:2241- 1968 (Online)