Dempster, M. A. H.; Germano, M.; Medova, E. A.; … - In: Quantitative Finance 7 (2007) 2, pp. 245-256
worried about the downside potential of the financial markets. This paper introduces a dynamic stochastic optimization model … on a three-factor term structure model are described in detail. This allows us to accurately price individual bonds …, including the zero-coupon bonds used to provide risk management, rather than having to rely on a generalized bond index model. …