Implementation of Stochastic Yield Curve Duration and Portfolio Immunization Strategies
نویسندگان
چکیده
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15 صفحه اولSensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting
Bond duration in its basic deterministic form is a concept well understood. Its meaning in the context of a yield curve on a stochastic path is less well developed. We extend the basic idea to a stochastic setting. More precisely, we introduce the concept of stochastic duration as a Malliavin derivative in the direction of a stochastic yield surface modeled by the Musiela equation. Further, usi...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2016
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2016.63032