Option-based risk management of a bond portfolio under regime switching interest rates

DOI10.1007/s10203-011-0123-1zbMath1268.91174MaRDI QIDQ354661

Sergio Scarlatti, Fabio Antonelli, Alessandro Ramponi

Publication date: 19 July 2013

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-011-0123-1

zbMATH Keywords

value at risk; bond portfolio; regime switching models; semi-affine term structure; T-forward measures

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

91G10: Portfolio theory

91G40: Credit risk

Related Items

Optimal Portfolio in a Regime-switching Model, Portfolio optimization in a defaultable Lévy-driven market model

Cites Work

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