Description: In writing this note on the relationship between total return, duration and convexity, it was author's intent to produce a better understanding of Redington's theory of immunization. From Actuarial Research Clearing House 1991, VOL. 2.

Description: This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. Two applications are presented, the first for valuing a European call option and the second for pricing derivative securities of multiple risky assets.