On optimal design of treasury bonds

DOI10.1023/A:1008600807439zbMath0922.90010OpenAlexW1525998914MaRDI QIDQ1284835

Rosella Giacometti

Publication date: 20 July 1999

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008600807439

zbMATH Keywords

optimal designbilevel optimizationbinomial latticeembedded put optioninterest rate sensitive securitiestreasury bonds

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

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