Management of non-maturing deposits by multistage stochastic programming

DOI10.1016/S0377-2217(02)00626-4zbMath1031.91086OpenAlexW2060901639MaRDI QIDQ1410316

Karl Frauendorfer, Michael Schürle

Publication date: 14 October 2003

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(02)00626-4

zbMATH Keywords

Stochastic programmingBankingAsset and liability management

Mathematics Subject Classification ID

Related Items (2)

On deposit volumes and the valuation of non-maturing liabilities ⋮ On the risk management of demand deposits: quadratic hedging of interest rate margins

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A stochastic programming model for money management
• Scenario modeling for the management of international bond portfolios
• Stochastic two-stage programming
• Multi-stage stochastic linear programs for portfolio optimization
• Barycentric scenario trees in convex multistage stochastic programming
• Parameter estimation in stochastic scenario generation systems
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Multistage stochastic programming: Error analysis for the convex case
• Bounds for Two-Stage Stochastic Programs with Fixed Recourse
• New Second-Order Bounds on the Expectation of Saddle Functions with Applications to Stochastic Linear Programming
• Term structure models in multistage stochastic programming: Estimation and approximation

This page was built for publication: Management of non-maturing deposits by multistage stochastic programming