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as well as many others who helped me with their advice and inspiration. I am particularly thankful to my primary advisor, Frank Proske, for his constant guidance and instruction. It was due to Prof. Proske that I got an opportunity to write my Ph.D. in Oslo, for which I am very grateful. I would also like to express special thanks to Paul C. Kettler for his selfless help with LaTeX files. Finally, I would like to thank my family and friends for their interest and constant support of my efforts.

Abstract. Bond duration in its basic deterministic form is a concept well understood. Its meaning in the context of a yield curve on a stochastic path is less well developed. We extend the basic idea to a stochastic setting. More precisely, we introduce the concept of stochastic duration as a Malliavin derivative in the direction of a stochastic yield surface modeled by the Musiela equation. Further, using this concept we also propose a mathematical framework for the construction of immunization strategies (or delta hedges) of portfolios of interest-ratesensitive securities with respect to the fluctuation of the whole yield surface.

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In this paper we study the problem of risk indifference pricing of interest rate claims which are functionals of a bond yield surface under partial information. Our approach to solve this problem relies on a maximum principle for partial information control of stochastic differential games based on generalized bond portfolios. The latter method enables us to establish an explicit representation of the risk indifference price of such claims. Received 2010-12-17; Communicated by A. Millet. 2000 Mathematics Subject Classification. Primary: 31C25, 91B16, 60H15; Secondary: 93E20, 35R60.