Interest Rate Risk Management
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Publication:5718251
DOI10.1080/10920277.1997.10595601zbMath1080.60507OpenAlexW2226961460MaRDI QIDQ5718251
Publication date: 13 January 2006
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.1997.10595601
Related Items (6)
Cash Flow Risk Management in the Property/Liability Insurance Industry: A Dynamic Factor Modeling Approach ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ Term Structure Models: A Perspective from the Long Rate ⋮ Some further ideas concerning the interaction between insurance and investment risks ⋮ Consistent fitting of one-factor models to interest rate data. ⋮ Cash Flow Matching
Cites Work
- On the Fisher-Weil immunization theorem
- Immunization of multiple liabilities
- A survey of stochastic continuous time models of the term structure of interest rates
- A general version of the fundamental theorem of asset pricing
- On Redington's theory of immunization
- A Theory of the Term Structure of Interest Rates
- Importance Sampling for Stochastic Simulations
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach1
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- Delta, gamma and bucket hedging of interest rate derivatives
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- Option pricing: A simplified approach
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