Implementation of stochastic yield curve duration and portfolio immunization strategies
Sindre Duedahl
Year of publication: |
August 2016
|
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Authors: | Duedahl, Sindre |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 3, p. 401-415
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Subject: | ALM | Risk Management | Interest rate Derivatives | Stochastic Duration | Immunization | SPDE | Musiela Equation | Theorie | Theory | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Hedging | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Zinsderivat | Interest rate derivative |
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