Concept

Immunization (finance)

Related publications (6)

Asset life, leverage, and debt maturity matching

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Lausanne2024

On flow duration curve modelling in Alpine catchments

Ana Clara Pereira Barbosa Santos

Mountain regions are considered to be the natural "water towers" of the world due to their importance as sources of many rivers. Reliable tools to estimate the availability and variability of streamflows in such regions are still rare. In this context, the ...

EPFL2019

Unspanned stochastic volatility in the multifactor CIR model

Damir Filipovic, Martin Larsson, Francesco Statti

Empirical evidence suggests that fixed-income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While Collin-Dufresne and Goldstein (2002, Journal of Finance, 57, ...

2018

Nonlinear storage-discharge relations may explain important hydrologic features frequently observed under a variety of environmental conditions. In this paper the catchment dynamic storage problem is addressed by incorporating nonlinear storage-discharge r ...

American Geophysical Union2009

A limits of acceptability approach to model evaluation and uncertainty estimation in flood frequency estimation by continuous simulation: Skalka catchment, Czech Republic

In this study continuous simulation flood frequency predictions on the Skalka catchment in the Czech Republic (672 km 2, range of altitudes from 460 to 1041 m above sea level), are compared against summary information of rainfall characteristics, the flow ...

American Geophysical Union2009

We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...

Elsevier2005

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