The Valuation and Hedging of Variable Rate Savings Accounts

DOI10.2143/AST.33.2.503699zbMath1095.91024OpenAlexW3122173629MaRDI QIDQ4661690

Frank de Jong, Jacco L. Wielhouwer

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.33.2.503699

zbMATH Keywords

term structuredurationuncertain cash flowvariable rates of return

Mathematics Subject Classification ID

Related Items (1)

On deposit volumes and the valuation of non-maturing liabilities

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

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