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Fixed-income securities : valuation, risk management and portfolio strategies
Martellini, Lionel; Priaulet, Philippe; Priaulet, Stéphane - 2003
Persistent link: https://www.econbiz.de/10001747338
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Alternative models for hedging yield curve risk : an empirical comparison
Carcano, Nicola; Dall’O, Hakim - In: Journal of banking & finance 35 (2011) 11, pp. 2991-3000
Persistent link: https://www.econbiz.de/10009374683
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Adjusting principal component analysis for model errors
Carcano, Nicola - In: Modern multi-factor analysis of bond portfolios : …, (pp. 6-20). 2016
Persistent link: https://www.econbiz.de/10011458161
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Alternative models for hedging yield curve risk : an empirical comparison
Carcano, Nicola; Dall'O, Hakim - In: Modern multi-factor analysis of bond portfolios : …, (pp. 21-46). 2016
Persistent link: https://www.econbiz.de/10011458165
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Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...
Persistent link: https://www.econbiz.de/10011552973
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Efficient hedging for equity-linked life insurance contracts with stochastic interest rate
Melʹnikov, Aleksandr V.; Tong, Shuo - In: Risk and decision analysis 4 (2013) 3, pp. 207-223
Persistent link: https://www.econbiz.de/10010190153
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Structure of spot rates and duration hedging
Lin, Bing-huei; Wang, Jr-yan; Tai, Shih-wen - In: Asia-Pacific journal of financial studies 40 (2011) 4, pp. 550-576
Persistent link: https://www.econbiz.de/10009388554
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
of numerical methods for pricing, hedging, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
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The mean-variance (in)efficiency of duration-based immunization
François, Pascal; Moraux, Franck - In: International review of finance : the official journal … 24 (2024) 2, pp. 253-290
Persistent link: https://www.econbiz.de/10014575525
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Fixed income markets and their derivatives
Sundaresan, Suresh M. - 2009 - 3. ed.
Persistent link: https://www.econbiz.de/10003826247