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Interest risk and default risk : a conditional volatility study
Escribano Sotos, Francisco - In: International advances in economic research : IAER ; an … 9 (2003) 1, pp. 56-62
Persistent link: https://www.econbiz.de/10001772379
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Die Bewertung von Zinsoptionen
Walter, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000560789
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Managing interest rate volatility risk : key rate vega
Ho, Thomas S. Y. - In: The journal of fixed income 17 (2007) 3, pp. 6-17
Persistent link: https://www.econbiz.de/10003687329
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Hedging short-term interest risk under time-varying distributions
Gagnon, Louis - In: The journal of futures markets 15 (1995) 7, pp. 767-783
Persistent link: https://www.econbiz.de/10001190088
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Variance and interest rate risk in unit-linked insurance policies
Baños, David; Lagunas-Merino, Marc; Ortiz-Latorre, Salvador - In: Risks : open access journal 8 (2020) 3/84, pp. 1-23
hedging strategy by completing the market. We conclude with a simulation experiment, where we price unit-linked policies using …
Persistent link: https://www.econbiz.de/10012293269
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Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik; Pilz, Kay Frederik; Schlögl, Erik - 2016
Persistent link: https://www.econbiz.de/10011778017
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Interest Rate Dynamics, Derivatives Pricing, and Risk Management
Chen, Lin - 1996
, hedging bond portfolios, and formulating dynamic trading strategies. The model could also be used to perform other types of …
Persistent link: https://www.econbiz.de/10013519057
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Interest rate dynamics, derivatives pricing, and risk management
Chen, Lin - 1996
Persistent link: https://www.econbiz.de/10013278137
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Interest rate convergence in euro-candidate countries : volatility dynamics of sovereign bond yields
Gabrisch, Hubert; Orłowski, Lucjan T. - In: Emerging markets finance & trade : a journal of the … 46 (2010) 6, pp. 69-85
Persistent link: https://www.econbiz.de/10009238982
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Risk matters : a comment
Born, Benjamin; Pfeifer, Johannes - 2014
Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk shocks are an important factor in explaining emerging market business cycles. We show that their model needs to be recalibrated because it underpredicts the targeted business...
Persistent link: https://www.econbiz.de/10010354846