Option-based risk management of a bond portfolio under regime switching interest rates (Q354661): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s10203-011-0123-1 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1988657188 / rank | |||
Normal rank | |||
Revision as of 21:52, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option-based risk management of a bond portfolio under regime switching interest rates |
scientific article |
Statements
Option-based risk management of a bond portfolio under regime switching interest rates (English)
0 references
19 July 2013
0 references
value at risk
0 references
bond portfolio
0 references
regime switching models
0 references
semi-affine term structure
0 references
T-forward measures
0 references
