An evaluation of some popular investment strategies under stochastic interest rates

DOI10.1016/J.MATCOM.2012.10.006zbMATH Open1499.91120OpenAlexW2040628853MaRDI QIDQ2227435FDOQ2227435

Authors: James J. Kung, E-Ching Wu 

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

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zbMATH Keywords

Monte Carlo simulationinterest rate modelsinvestment horizoninefficiency amountinvestment strategies

Mathematics Subject Classification ID

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

Cites Work

• Analysis of Financial Time Series
• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• Title not available (Why is that?)
• An equilibrium characterization of the term structure
• Theory of games and economic behavior.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic differential equations. An introduction with applications.

Cited In (3)

• Pricing generalized variance swaps under the Heston model with stochastic interest rates
• A differential evolution algorithm for yield curve estimation
• An efficient ex-ante criterion for ranking investment strategies

Uses Software

• FinTS

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