Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting (Q4561942)
From MaRDI portal
scientific article; zbMATH DE number 6993402
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting |
scientific article; zbMATH DE number 6993402 |
Statements
Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting (English)
0 references
13 December 2018
0 references
bond duration
0 references
Malliavin derivative
0 references
yield surface
0 references
immunization strategies
0 references
delta hedges
0 references
