A Hybrid Model for Pricing and Hedging of Long-dated Bonds

DOI10.1080/1350486X.2015.1050119zbMath1396.91777OpenAlexW3121909833MaRDI QIDQ4682485

Eckhard Platen, Katja Ignatieva, Man Chung Fung, Jan Baldeaux

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2015.1050119

zbMATH Keywords

stochastic interest rategrowth optimal portfoliononparametric kernellong-dated bond pricing

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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