Risk measures and behaviors for bonds under stochastic interest rate models
From MaRDI portal
Publication:1931093
DOI10.1016/j.mcm.2011.11.070zbMath1255.91417OpenAlexW1965954226MaRDI QIDQ1931093
Na Song, Wai-Ki Ching, Farzad Alavi Fard, Tak Kuen Siu, Eric S. Fung
Publication date: 24 January 2013
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2011.11.070
Related Items
Cites Work
- Valuation of contingent claims with mortality and interest rate risks
- A model for pricing real estate derivatives with stochastic interest rates
- Coherent Measures of Risk
- A Theory of the Term Structure of Interest Rates
- Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia*
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- An Intertemporal Capital Asset Pricing Model
- COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- Introductory Stochastic Analysis for Finance and Insurance
- Analytical value-at-risk with jumps and credit risk