Risk management of a bond portfolio using options
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Publication:2463566
DOI10.1016/j.insmatheco.2006.11.002zbMath1141.91414OpenAlexW2071240508MaRDI QIDQ2463566
Griselda Deelstra, Michèle Vanmaele, Dries Heyman, Jan Annaert
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
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Related Items (3)
Managing value-at-risk for a bond using bond put 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
Cites Work
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- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- Coherent Measures of Risk
- Pricing Interest-Rate-Derivative Securities
- Interest rate models -- theory and practice
- Upper and lower bounds for sums of random variables
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