Dynamic derivative strategies with stochastic interest rates and model uncertainty
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Publication:1657151
DOI10.1016/j.jedc.2017.09.007zbMath1401.91516OpenAlexW2761953470MaRDI QIDQ1657151
Marcos Escobar, Sebastian E. Ferrando, Alexey N. Rubtsov
Publication date: 13 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2017.09.007
Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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Uses Software
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