Assignment for Thursday, November 10, 2016

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Last quiz: Thursday, November 17

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Read: Sections 11.3, 11.6-11.8

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What is the convexity and Macaulay convexity of a sequence of returns and how are they used to approximate the sensitivity of the sequence to changes in the interest rate?

How does the scheme work for exact matching assets with liabilities?

What is (Redington) Immunization?

What does it take to produce Full Immunization?

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Problems from Chapter 11 - 8, 9, 25, 28, 29, 31

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