A continuous-time model for reinvestment risk in bond markets

DOI10.1080/14697680802512390MaRDI QIDQ3404102zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

risk-minimizationincomplete marketsforward ratesinterest rate modeling

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(4)

• scientific article; zbMATH DE number 5588947 (Why is no real title available?)
• 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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