ABSTRACT
The implementation of more general immunization strategies based on multiple unexpected changes in interest rates with different effects across maturities will require that the investor specifies correctly the random process generating the changes in interest rates. The reader interested in this alternative hedging technique and its relationship to immunization strategies is referred to the papers listed in the bibliographical index under the heading "Immunization Strategies Using Interest Rate Futures." Students of bond duration and related issues seem to agree that the development of the concept of duration should be attributed to Macaulay and Hicks. The reason is quite simple. Having shown that the time dimension of a bond is best measured by its duration one may be tempted to conclude that observed yields to maturity on bonds should be related to their durations and not to their maturities.
