A note on the worst case approach for a market with a stochastic interest rate (Q4614223): Difference between revisions
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Latest revision as of 19:53, 18 August 2024
scientific article; zbMATH DE number 7008606
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the worst case approach for a market with a stochastic interest rate |
scientific article; zbMATH DE number 7008606 |
Statements
A note on the worst case approach for a market with a stochastic interest rate (English)
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30 January 2019
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robust optimization
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stochastic differential games
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model uncertainty
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portfolio optimization
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martingale measure
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Vasicek model
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Hull-White model
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