Kondratiuk-Janyska, Alina; Kaluszka, Marek - In: Operations Research and Decisions 1 (2009), pp. 91-101
We introduce new measures of immunization such as exponential duration referring, in particular, to Fong and Vasièek [7], Nawalkha and Chambers [14], Balbás and Ibánez [2], and Balbás et al. [3], but under the assumption of multiple shocks in the term structure of interest rates. These...