Reducing transaction costs for interest rate risk hedging with stochastic programming

DOI10.1016/J.EJOR.2022.02.004MaRDI QIDQ2672154zbMATH OpenOpenAlexWikidataFDO

Authors Jörgen Blomvall, Johan Hagenbjörk

Publication date 8 June 2022

Published in European Journal of Operational Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.ejor.2022.02.004

zbMATH Keywords

financeOR in bankingrisk managementstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A Riccati-based primal interior point solver for multistage stochastic programming
• A stochastic programming model for currency option hedging
• A stochastic programming model for money management
• Asset/liability management under uncertainty for fixed-income securities
• Dynamic models for fixed-income portfolio management under uncertainty
• Hedging options under transaction costs and stochastic volatility
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
• Integrated simulation and optimization models for tracking international fixed income indices
• Interpolation Methods for Curve Construction
• Measurement of interest rates using a convex optimization model
• Modeling and evaluation of the option book hedging problem using stochastic programming
• Robust optimization models for managing callable bond portfolios
• Simulation and evaluation of the distribution of interest rate risk
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions
• Two-Sided Screening Procedures in the Bivariate Case

Cited in

(3)

• High-dimensional stochastic control models for newsvendor problems and deep learning resolution
• Multivariate Lévy models: calibration and pricing
• Commodity supply chain network equilibrium under bilateral risk hedging

Describes a project that uses

Uses Software

• Quantlib
• QuantLib

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