A stochastic control perspective on term structure models with roll-over risk (Q6074008)
From MaRDI portal
scientific article; zbMATH DE number 7748828
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic control perspective on term structure models with roll-over risk |
scientific article; zbMATH DE number 7748828 |
Statements
A stochastic control perspective on term structure models with roll-over risk (English)
0 references
12 October 2023
0 references
roll-over risk
0 references
liquidity risk
0 references
interest rate
0 references
multiplicative spread
0 references
term rate
0 references
benchmark approach
0 references
stochastic control
0 references
risk-sensitive portfolio optimisation
0 references
0 references
0 references
0 references
0 references
