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A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
Chen, Homing; Hu, Cheng-feng - In: European journal of operational research : EJOR 204 (2010) 2, pp. 343-354
Persistent link: https://www.econbiz.de/10003947179
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Risk-management methods for the Libor market model using semidefinite programming
Aspremont, Alexandre d' - In: The journal of computational finance 8 (2004/2005) 4, pp. 77-99
Persistent link: https://www.econbiz.de/10002990531
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Higher order forward rate agreements and the smoothness of the term structure
Jaschke, Stefan R. - 1999
Persistent link: https://www.econbiz.de/10001377676
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A stochastic programming model for the optimal issuance of government bonds
Consiglio, Andrea; Staino, Alessandro - 2012
Persistent link: https://www.econbiz.de/10009620490
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A multiple-objective programming technique for structuring tax-exempt serial revenue debt issues
VonPuelz, Amy - In: Management science : journal of the Institute for … 38 (1992) 8, pp. 1186-1200
Persistent link: https://www.econbiz.de/10001128208
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An integrated matching-immunization model for bond portfolio optimization
Xidonas, P.; Hassapis, Christis; Bouzianis, G.; … - In: Computational economics 51 (2018) 3, pp. 595-605
Persistent link: https://www.econbiz.de/10011963712
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Optimal government debt maturity
Debortoli, Davide; Nunes, Ricardo; Yared, Pierre - 2014
Persistent link: https://www.econbiz.de/10010440108
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A Stochastic Programming Model for the Optimal Issuance of Government Bonds
Consiglio, Andrea; Staino, Alessandro - 2014
Sovereign states issue fixed and floating securities to fund their public debt. The value of such portfolios strongly depends on the fluctuations of the term structure of interest rates. This is a typical example of planning under uncertainty, where decisions has to be drawn on the base of the...
Persistent link: https://www.econbiz.de/10014214177
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Sherman ratio optimization : constructing alternative ultrashort sovereign bond portfolios
Henide, Karim - In: The journal of investment strategies 12 (2023) 1, pp. 23-44
Persistent link: https://www.econbiz.de/10014484621
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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551