Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting

DOI10.1007/978-3-319-02069-3_17zbMath1418.91556OpenAlexW1517225571MaRDI QIDQ4561942

Mark Rubtsov, Paul C. Kettler, Frank Norbert Proske

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_17

zbMATH Keywords

yield surfaceMalliavin derivativeimmunization strategiesbond durationdelta hedges

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic calculus of variations and the Malliavin calculus (60H07)

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