Term structure models in multistage stochastic programming: Estimation and approximation

DOI10.1023/A:1019223318808zbMath1017.90070MaRDI QIDQ5933856

Michael Schürle, Karl Frauendorfer

Publication date: 14 June 2001

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

stochastic programmingterm structure modelsapproximation

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (3)

Unnamed Item ⋮ Management of non-maturing deposits by multistage stochastic programming ⋮ A portfolio-based evaluation of affine term structure models

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