Option-based risk management of a bond portfolio under regime switching interest rates
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Publication:354661
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
value at risk; bond portfolio; regime switching models; semi-affine term structure; T-forward measures
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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