An evaluation of some popular investment strategies under stochastic interest rates

DOI10.1016/J.MATCOM.2012.10.006zbMath1499.91120OpenAlexW2040628853MaRDI QIDQ2227435

E-Ching Wu, James J. Kung

Publication date: 15 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2012.10.006

zbMATH Keywords

Monte Carlo simulationinterest rate modelsinvestment horizoninefficiency amountinvestment strategies

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (2)

A differential evolution algorithm for yield curve estimation ⋮ Pricing generalized variance swaps under the Heston model with stochastic interest rates

Uses Software

• FinTS

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Analysis of Financial Time Series
• Stochastic differential equations. An introduction with applications.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: An evaluation of some popular investment strategies under stochastic interest rates