Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting (Q4561942): Difference between revisions

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Latest revision as of 16:51, 17 July 2024

scientific article; zbMATH DE number 6993402
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English
Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting
scientific article; zbMATH DE number 6993402

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    Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting (English)
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    13 December 2018
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    bond duration
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    Malliavin derivative
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    yield surface
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    immunization strategies
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    delta hedges
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