Risk management of a bond portfolio using options
Year of publication: |
2007-05
|
---|---|
Authors: | ANNAERT, J. ; DEELSTRA, G. ; HEYMAN, D. ; VANMAELE, M. |
Institutions: | Faculteit Economie en Bedrijfskunde, Universiteit Gent |
Subject: | (Tail) Value-at-Risk | bond hedging | affine term structure model |
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