On optimal design of treasury bonds

DOI10.1023/A:1008600807439MaRDI QIDQ1284835zbMATH OpenOpenAlexFDO

Authors Rosella Giacometti

Publication date 20 July 1999

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1008600807439

zbMATH Keywords

bilevel optimizationbinomial latticeembedded put optioninterest rate sensitive securitiesoptimal designtreasury bonds

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

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(4)

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