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Introducing global term structure in a risk parity framework

Stagnol, Lauren - 2017

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A state space modeling for proactive management in equity investment

Takahashi, Akihiko; Takahashi, Soichiro - In: International journal of financial engineering 9 (2022) 4, pp. 1-29

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A spread-return mean-reverting model for credit spread dynamics

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Implementation of stochastic yield curve duration and portfolio immunization strategies

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Hedging long-term liabilities

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Volatility as an asset class : obvious benefits and hidden risks

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …