Risk management of a bond portfolio using options

DOI10.1016/J.INSMATHECO.2006.11.002MaRDI QIDQ2463566zbMATH OpenOpenAlexFDO

Authors Jan Annaert, Griselda Deelstra, Dries Heyman, Michèle Vanmaele

Publication date 14 December 2007

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2006.11.002

zbMATH Keywords

(tail) value-at-riskaffine term structure modelbond hedging

Mathematics Subject Classification ID

Recommendations

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Cites work

• Coherent measures of risk
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Interest rate models -- theory and practice
• Pricing interest-rate-derivative securities
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• Upper and lower bounds for sums of random variables

Cited in

(7)

• Bond options and bond portfolio insurance
• Pricing bond options in emerging markets: a case study
• Managing value-at-risk for a bond using bond put options
• DUAL ANALYSIS ON HEDGING VaR OF BOND PORTFOLIO USING OPTIONS
• Option-based risk management of a bond portfolio under regime switching interest rates
• Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
• On mean-variance hedging of bond options with stochastic risk premium factor

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