Risk management of a bond portfolio using options (Q2463566)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Risk management of a bond portfolio using options
scientific article

    Statements

    Risk management of a bond portfolio using options (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    14 December 2007
    0 references
    (tail) value-at-risk
    0 references
    bond hedging
    0 references
    affine term structure model
    0 references

    Identifiers