Hedging interest rate risk by optimization in Banach spaces

DOI10.1007/S10957-006-9124-6zbMATH Open1127.91022OpenAlexW2054316845MaRDI QIDQ995956FDOQ995956

Authors: Alejandro Balbás, Rosario Romera 

Publication date: 10 September 2007

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/12970

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zbMATH Keywords

maximum portfoliosaddle-point condition

Mathematics Subject Classification ID

Semi-infinite programming (90C34)

Cites Work

• Title not available (Why is that?)
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• Pricing a nontradeable asset and its derivatives.
• Extreme Points of Moment Sets
• Generalising Interest Rate Duration with Directional Derivatives: Direction X and Applications

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• Minimax strategies and duality with applications in financial mathematics
• Optimal reinsurance with general risk measures
• On the risk management of demand deposits: quadratic hedging of interest rate margins
• On hedging the risk of default caused by changes of interest rates
• Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm

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