The performance of alternative interest rate risk measures and immunization strategies under a Heath-Jarrow-Morton framework
S Agca - Journal of Financial and Quantitative Analysis, 2005 - cambridge.org
Using a Monte Carlo simulation, this study addresses the question of how traditional risk
measures and immunization strategies perform when the term structure evolves in a Heath …
measures and immunization strategies perform when the term structure evolves in a Heath …
[BOOK][B] An Investigation of Inverted Yield Curves and Economic Downturns
PF Cwik - 2004 - search.proquest.com
This dissertation presents an answer to why the yield curve tends to invert one year before a
recession. The capital-based macroeconomic model used in this dissertation makes a …
recession. The capital-based macroeconomic model used in this dissertation makes a …
[BOOK][B] Derivative security pricing
This book is an outgrowth of courses we have offered on stochastic calculus and its
applications to derivative securities pricing over the last 15 years. The courses have been …
applications to derivative securities pricing over the last 15 years. The courses have been …
Liability-driven investment: multiple liabilities and the question of the number of moments
MF Theobald, PJ Yallup - The European Journal of Finance, 2010 - Taylor & Francis
The selection of investments held in dedicated pension or insurance asset portfolios should
be liability-driven. Techniques have been developed to hedge or immunize single liabilities …
be liability-driven. Techniques have been developed to hedge or immunize single liabilities …
The performance of deterministic and stochastic interest rate risk measures: Another Question of Dimensions?
L Oliveira, JP Vidal Nunes, L Malcato - Portuguese Economic Journal, 2014 - Springer
The efficiency of traditional and stochastic interest rate risk measures is compared under
one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for …
one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for …
A maximum likelihood approach to estimation of Heath-Jarrow-Morton models
R Bhar, C Chiarella, TD To - 2002 - ideas.repec.org
Research on the Heath-Jarrow-Morton (1992) term structure models so far has focused on
the class having time-deterministic instantaneous forward rate volatility. In this case the …
the class having time-deterministic instantaneous forward rate volatility. In this case the …
Estimating the volatility structure of an arbitrage-free interest rate model via the futures markets
R Bhar, C Chiarella, TD To - 2004 - ideas.repec.org
This paper considers a class of Heath-Jarrow-Morton (1992) term structure models,
characterized by time deterministic volatilities for the instantaneous forward rate. The bias …
characterized by time deterministic volatilities for the instantaneous forward rate. The bias …
一种 HJM 框架下的利率风险免疫的新方法
李晶晶， 杨宝臣 - 管理工程学报, 2016 - cqvip.com
通过对HJM 框架下随机久期测度与久期匹配免疫策略的研究, 指出了当前被广泛研究的应用
随机利率风险测度的利率风险免疫方法存在的理论缺陷, 并在此基础上构建了新的HJM …
随机利率风险测度的利率风险免疫方法存在的理论缺陷, 并在此基础上构建了新的HJM …
[BOOK][B] Immunisation with Multiple Liabilities and Term Structure Estimation in the UK Gilt Market
PJ Yallup - 2006 - search.proquest.com
In the standard immunisation problem an'immunising portfolio'of bonds is constructed which
will produce enough cash to pay a given single liability at a particular time horizon in the …
will produce enough cash to pay a given single liability at a particular time horizon in the …
随机久期利率风险免疫策略研究
李鹏程， 李晶晶， 杨宝臣 - 经济与管理研究, 2014 - cqvip.com
通过对传统久期, 随机久期与多种免疫策略相结合所构成的免疫方法的实证分析, 实证结果表明:
传统久期免疫方法在投资期较短的前提下具有与随机久期同等的免疫效果; …
传统久期免疫方法在投资期较短的前提下具有与随机久期同等的免疫效果; …