A stochastic control perspective on term structure models with roll-over risk
Claudio Fontana, Simone Pavarana, Wolfgang J. Runggaldier
| Year of publication: |
2023
|
|---|---|
| Authors: | Fontana, Claudio ; Pavarana, Simone ; Runggaldier, Wolfgang J. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 27.2023, 4, p. 903-932
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| Subject: | Benchmark approach | Interest rate | Liquidity risk | Multiplicative spread | Risk-sensitive portfolio optimisation | Roll-over risk | Stochastic control | Term rate | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Risiko | Risk | Kontrolltheorie | Control theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-023-00515-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014426396