Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting (Q4561942)
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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)
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13 December 2018
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bond duration
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Malliavin derivative
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yield surface
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immunization strategies
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delta hedges
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