Barber, Joel R - In: The Financial Review 34 (1999) 2, pp. 127-40
This paper generalizes a number of important immunization theorems. We show that the Fisher and Weil immunization, Bierwag and Khang minimax, Redington multiple liability, and Bierwag, Kaufman, and Toevs coverage theorems can be generalized to the class of affine term structures. This class of...