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

@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 91G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6189570
@@ Property / zbMATH DE Number: 6189570 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+value at risk
@@ Property / zbMATH Keywords: value at risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bond portfolio
@@ Property / zbMATH Keywords: bond portfolio / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+regime switching models
@@ Property / zbMATH Keywords: regime switching models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+semi-affine term structure
@@ Property / zbMATH Keywords: semi-affine term structure / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+T-forward measures
@@ Property / zbMATH Keywords: T-forward measures / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10203-011-0123-1
+Normal rank
@@ Property / OpenAlex ID @@
+W1988657188
@@ Property / OpenAlex ID: W1988657188 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk management of a bond portfolio using options
@@ Property / cites work: Risk management of a bond portfolio using options / rank @@
+Normal rank
@@ Property / cites work @@
+Bond Market Structure in the Presence of Marked Point Processes
+Normal rank
@@ Property / cites work @@
+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Managing value-at-risk for a bond using bond put options
+Normal rank
@@ Property / cites work @@
+An interest rate model with a Markovian mean reverting level
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+A simple regime switching term structure model
@@ Property / cites work: A simple regime switching term structure model / rank @@
+Normal rank
@@ Property / cites work @@
+Bond pricing in a hidden Markov model of the short rate
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Q3160522
@@ Property / cites work: Q3160522 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:354661