Option-based risk management of a bond portfolio under regime switching interest rates (Q354661)
From MaRDI portal
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
0 references
0 references
