Option-based risk management of a bond portfolio under regime switching interest rates (Q354661)
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scientific article; zbMATH DE number 6189570
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option-based risk management of a bond portfolio under regime switching interest rates |
scientific article; zbMATH DE number 6189570 |
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Option-based risk management of a bond portfolio under regime switching interest rates (English)
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19 July 2013
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value at risk
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bond portfolio
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regime switching models
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semi-affine term structure
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T-forward measures
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