A Discrete-Time Model for Reinvestment Risk in Bond Markets

DOI10.2143/AST.37.2.2024066zbMath1158.62072OpenAlexW4247102635MaRDI QIDQ5505899

Mikkel Dahl

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.2143/ast.37.2.2024066

zbMATH Keywords

incomplete marketsuper-replicationrisk-minimizationforward rateszero coupon bond

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

CONSISTENT YIELD CURVE PREDICTION ⋮ Hedging of long term zero-coupon bonds in a market model with reinvestment risk ⋮ A continuous-time model for reinvestment risk in bond markets

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• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Arbitrage Theory in Continuous Time
• Hedging Equity-Linked Life Insurance Contracts

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