A hybrid model for pricing and hedging of long-dated bonds
Jan Baldeaux, Man Chung Fung, Katja Ignatieva and Eckhard Platen
| Year of publication: |
September 2015
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|---|---|
| Authors: | Baldeaux, Jan ; Fung, Man Chung ; Ignatieva, Ekaterina ; Platen, Eckhard |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 3/4, p. 366-398
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| Subject: | Long-dated bond pricing | stochastic interest rate | growth optimal portfolio | non-parametric kernel | Hedging | Anleihe | Bond | Portfolio-Management | Portfolio selection | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2015.1050119 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011436216