Robust long-term interest rate risk hedging in incomplete bond markets
Year of publication: |
2021
|
---|---|
Authors: | Shen, Sally ; Pelsser, Antoon André Jean ; Schotman, Peter C. |
Published in: |
Journal of pension economics and finance : JPEF. - Cambridge : Cambridge Univ. Press, ISSN 1475-3022, ZDB-ID 2079705-9. - Vol. 20.2021, 2, p. 273-300
|
Subject: | Incomplete market | least squares Monte Carlo | liability valuation | parameter uncertainty | robust optimization | Unvollkommener Markt | Hedging | Robustes Verfahren | Robust statistics | Zinsrisiko | Interest rate risk | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Rentenmarkt | Bond market | Zinsstruktur | Yield curve |
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