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Alternative models for hedging yield curve risk : an empirical comparison

Carcano, Nicola; Dall'O, Hakim - In: Modern multi-factor analysis of bond portfolios : …, (pp. 21-46). 2016

Persistent link: https://www.econbiz.de/10011458165

Implementation of stochastic yield curve duration and portfolio immunization strategies

Duedahl, Sindre - In: Journal of mathematical finance 6 (2016) 3, pp. 401-415

Persistent link: https://www.econbiz.de/10011583529

Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX

Abdelkafi, Samar Zlitni; Ghorbel, Ahmed; Khoufi, Walid - In: American journal of finance and accounting 5 (2018) 4, pp. 371-393

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Structure of spot rates and duration hedging

Lin, Bing-huei; Wang, Jr-yan; Tai, Shih-wen - In: Asia-Pacific journal of financial studies 40 (2011) 4, pp. 550-576

Persistent link: https://www.econbiz.de/10009388554

Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Persistent link: https://www.econbiz.de/10011300314

Bond yields : models and moments

Gabriel, Christian - 2015

Anleihenrenditen-Verteilung; Festzinsanlagen-Portfolios; Hauptkomponentenanalyse; Kredit-Rating; Nicht …Affine term structure models; Bond return distributions; Corporate bonds; Credit rating; Fixed income portfolios …Besides the introduction, the thesis is organized in two parts. Part I assumes a bond investor with μ-σ preferences …

Persistent link: https://www.econbiz.de/10011317335

Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis

Rom, Niels - 2025

Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9....

Persistent link: https://www.econbiz.de/10015401840

Factor-based tactical bond allocation and interest rate risk management

Thomann, Andreas - In: The journal of investment strategies 8 (2019) 3, pp. 49-79

Persistent link: https://www.econbiz.de/10012426012

LIBOR replacement : the long and winding road

Hughes, Thomas M. - In: The journal of structured finance 25 (2019) 2, pp. 28-34

Persistent link: https://www.econbiz.de/10012125661

Value at risk models for Dutch bond portfolios

Vlaar, Peter J. G. - 1998

Persistent link: https://www.econbiz.de/10000983318