Exercise 24.6.8 (Dynamic Immunization) Explain why the replication idea solves the problem of arbitrage opportunities in immunization

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Exercise 24.6.8 (Dynamic Immunization) Explain why the replication idea solves the problem of arbitrage opportunities in immunization against parallel shifts raised in Subsection 5.8.2.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 01:01 PM

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Exercise 24.6.8 (Dynamic Immunization) Explain why the replication idea solves the problem of arbitrage opportunities in immunization against parallel shifts raised in Subsection 5.8.2.
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Exercise 24.6.8 (Dynamic Immunization) Explain why the replication idea solves the problem of arbitrage opportunities in immunization

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Financial Engineering And Computation Principles Mathematics Algorithms

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