Hedging of long term zero-coupon bonds in a market model with reinvestment risk
DOI10.1007/S13385-013-0083-7zbMATH Open1307.91192OpenAlexW1994220398MaRDI QIDQ487615FDOQ487615
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
Recommendations
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)
Cites Work
- A Test for Normality of Observations and Regression Residuals
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- A general version of the fundamental theorem of asset pricing
- Financial modeling, actuarial valuation and solvency in insurance
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- Risk Measures and Efficient use of Capital
- A continuous-time model for reinvestment risk in bond markets
- Galerkin methods in dynamic stochastic programming
- Numerical study of discretizations of multistage stochastic programs
- A Discrete-Time Model for Reinvestment Risk in Bond Markets
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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