A continuous-time model for reinvestment risk in bond markets

DOI10.1080/14697680802512390zbMATH Open1182.91183OpenAlexW2127512434MaRDI QIDQ3404102FDOQ3404102

Authors: Mikkel Dahl 

Publication date: 5 February 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802512390

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zbMATH Keywords

risk-minimizationincomplete marketsforward ratesinterest rate modeling

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Arbitrage Theory in Continuous Time
• Risk-minimizing hedging strategies for insurance payment processes
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Bond Market Structure in the Presence of Marked Point Processes
• A Discrete-Time Model for Reinvestment Risk in Bond Markets
• Self-financing trading strategies for sliding, rolling-horizon, and consol bonds
• On transformations of actuarial valuation principles.

Cited In (4)

• Title not available (Why is that?)
• Hedging of long term zero-coupon bonds in a market model with reinvestment risk
• A Discrete-Time Model for Reinvestment Risk in Bond Markets
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS

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