Robust long-term interest rate risk hedging in incomplete bond markets
Sally Shen, Antoon Pelsser and Peter Schotman
| Year of publication: |
2021
|
|---|---|
| Authors: | Shen, Sally ; Pelsser, Antoon André Jean ; Schotman, Peter C. |
| Subject: | Incomplete market | least squares Monte Carlo | liability valuation | parameter uncertainty | robust optimization | Unvollkommener Markt | Theorie | Theory | Robustes Verfahren | Robust statistics | Hedging | Monte-Carlo-Simulation | Monte Carlo simulation | Zinsrisiko | Interest rate risk | Risiko | Risk | Zinsstruktur | Yield curve | Rentenmarkt | Bond market | Anleihe | Bond |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1474747220000128 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012505369