Hedging of long term zero-coupon bonds in a market model with reinvestment risk

DOI10.1007/S13385-013-0083-7zbMath1307.91192OpenAlexW1994220398MaRDI QIDQ487615

Mario V. Wüthrich, David Stefanovits

Publication date: 22 January 2015

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/326122/files/13385_2013_Article_83.pdf

zbMATH Keywords

hedgingreinvestment riskzero-coupon bonds

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

CONSISTENT YIELD CURVE PREDICTION ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES

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