Concepedia

Immunization Theory

Immunization Theory is a risk management framework in financial mathematics that belongs to the class of interest rate risk mitigation strategies, distinguished by its use of duration and convexity matching to protect the present value of a portfolio against small changes in interest rates.

34

Publications

2.6K

Citations

67

Authors

43

Institutions

Publications per year

2017–2026

2

Variants

Bond Immunization

Parents

Publications

34

Efficient Immunization Strategies for Computer Networks and Populations

Reuven Cohen, Shlomo Havlin, Daniel ben‐Avraham · Physical Review Letters · 2003 · 1.2K citations · Full text

, , +16

A Risk Minimizing Strategy for Portfolio Immunization

H. Gifford Fong, Oldrich A Vasicek · The Journal of Finance · 1984 · 170 citations

, , +11

Immunization of Epidemics in Multiplex Networks

Dawei Zhao, Lianhai Wang, Lianhai Wang et al. · PLoS ONE · 2014 · 148 citations · Full text

, , +14

Improving immunization strategies

Lazaros K. Gallos, Fredrik Liljeros, Panos Argyrakis et al. · Physical Review E · 2007 · 143 citations · Full text

, , +15

Immunizing Default-Free Bond Portfolios with a Duration Vector

Donald R. Chambers, Willard T. Carleton, Richard W. McEnally · Journal of Financial and Quantitative Analysis · 1988 · 125 citations

, , +9

1–5 of 34

Authors

67

  1. GO
    G. O. Bierwag

    University of Arizona, United States

    2 publications · 87 citations

    2

    h-index

  2. DZ
    Dawei Zhao

    Qilu University of Technology, China

    2 publications · 239 citations

    2

    h-index

  3. SH
    Shlomo Havlin

    Bar-Ilan University, Israel

    2 publications · 1.3K citations

    2

    h-index

  4. HG
    H. Gifford Fong

    Santa Clara University, United States

    2 publications · 213 citations

    2

    h-index

  5. CK
    Chulsoon Khang

    University of Oregon, United States

    2 publications · 103 citations

    2

    h-index

1–5 of 67

Institutions

43

  1. City University of Hong Kong

    Hong Kong, Hong Kong

    3 h-index

    7 publications

    854 citations

  2. Bar-Ilan University

    Ramat Gan, Israel

    2 h-index

    3 publications

    2.5K citations

  3. University of Baltimore

    Baltimore, United States

    2 h-index

    2 publications

    82 citations

  4. University of Manitoba

    Winnipeg, Canada

    2 h-index

    3 publications

    76 citations

  5. Clarkson University

    Potsdam, United States

    1 h-index

    1 publications

    1.2K citations

  6. Stockholm University

    Stockholm, Sweden

    1 h-index

    1 publications

    143 citations

  7. KPMG (United States)

    New York, United States

    1 h-index

    1 publications

    56 citations

  8. Sapienza University of Rome

    Rome, Italy

    1 h-index

    1 publications

    18 citations

1–8 of 43

Venues

  1. Journal of Financial and Quantitative Analysis

    JFQA · 5 publications · 291 citations

    5

    h-index

  2. Insurance Mathematics and Economics

    4 publications · 104 citations

    4

    h-index

  3. The Journal of Finance

    2 publications · 213 citations

    2

    h-index

  4. Journal of Banking & Finance

    2 publications · 58 citations

    2

    h-index

  5. Chaos Solitons & Fractals

    1 publications · 15 citations

    1

    h-index

1–5