practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …

die zur Verfügung stehenden Instrumente der Performanceanalyse von Anleihe- und Aktienportfolios. Diese verknüpft er mit … einem Risikobegriff auf Basis eines No-Arbitrage-Ansatzes, um mit dem entwickelten Modell eine risikoadjustierte …

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …-period and continuous-time bond portfolio optimization problems are considered. …

A major theme of this book is the development of a consistent unified model framework for the evaluation of bond … options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …

risks) of Value-at-Risk when used the relevant risk constraint, the problem factor selection for the Arbitrage Pricing … Theory." …

bond portfolios and portfolio management through key empirical analysis. The authors use extensive sets of empirical data …