Option-based risk management of a bond portfolio under regime switching interest rates

DOI10.1007/s10203-011-0123-1zbMath1268.91174OpenAlexW1988657188MaRDI QIDQ354661

Sergio Scarlatti, Fabio Antonelli, Alessandro Ramponi

Publication date: 19 July 2013

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-011-0123-1

zbMATH Keywords

value at riskbond portfolioregime switching modelssemi-affine term structureT-forward measures

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10) Credit risk (91G40)

Related Items (2)

Optimal Portfolio in a Regime-switching Model ⋮ Portfolio optimization in a defaultable Lévy-driven market model

Cites Work

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• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure
• Bond pricing in a hidden Markov model of the short rate
• A simple regime switching term structure model

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