Hedging of long term zero-coupon bonds in a market model with reinvestment risk

DOI10.1007/S13385-013-0083-7MaRDI QIDQ487615zbMATH OpenOpenAlexFDO

Authors David Stefanovits, Mario V. Wüthrich

Publication date 22 January 2015

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL http://doc.rero.ch/record/326122/files/13385_2013_Article_83.pdf

zbMATH Keywords

hedgingreinvestment riskzero-coupon bonds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• A Discrete-Time Model for Reinvestment Risk in Bond Markets
• A Test for Normality of Observations and Regression Residuals
• A continuous-time model for reinvestment risk in bond markets
• A general version of the fundamental theorem of asset pricing
• Financial modeling, actuarial valuation and solvency in insurance
• Galerkin methods in dynamic stochastic programming
• Inference of statistical bounds for multistage stochastic programming problems
• Numerical study of discretizations of multistage stochastic programs
• Risk Measures and Efficient use of Capital
• Scenario tree generation for multiperiod financial optimization of optimal discretization

Cited in

(6)

• A continuous-time model for reinvestment risk in bond markets
• Issues with the Smith-Wilson method
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• A Discrete-Time Model for Reinvestment Risk in Bond Markets
• Consistent yield curve prediction
• A mixed bond and equity fund model for the valuation of variable annuities

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