An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates (Q882461)
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scientific article; zbMATH DE number 5156662
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates |
scientific article; zbMATH DE number 5156662 |
Statements
An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates (English)
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23 May 2007
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present value
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stochastic interest rate
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hull and white model
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convex bounds
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value-at-risk
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