Option-based risk management of a bond portfolio under regime switching interest rates (Q354661): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1007/s10203-011-0123-1 / rank
 
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Property / OpenAlex ID: W1988657188 / rank
 
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Latest revision as of 16:16, 6 July 2024

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Option-based risk management of a bond portfolio under regime switching interest rates
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    Option-based risk management of a bond portfolio under regime switching interest rates (English)
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    19 July 2013
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    value at risk
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    bond portfolio
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    regime switching models
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    semi-affine term structure
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    T-forward measures
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