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Sensitivity of Bond Portfolio's Behavior with Respect to Random Movements in Yield Curve: A Simulation Study
9 references·0 citing·32 second hop
Sensitivity of Bond Portfolio's Behavior with Respect to Random Movements in Yield Curve: A Simulation Study (2000)Sensitivity of Bond Portfolio's Behavior …Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Monte Carlo bounding techniques for determining solution quality in stochastic programs (1999)Monte Carlo bounding techniqu…Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing (1996)Arbitrage Opportunities in Ar…A stochastic programming model for money management (1995)A stochastic programming mode…Financial Optimization (1993)Financial OptimizationConstructing Optimal Samples from a Binomial Lattice (1993)Constructing Optimal Samples …Bond and Option Pricing when Short Rates are Lognormal (1991)Bond and Option Pricing when …A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…A Dynamic Model for Bond Portfolio Management (1972)A Dynamic Model for Bond Port…Option pricing: A simplified approach (1979)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Pricing Interest-Rate-Derivative Securities (1990)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)Theory of Financial Decision Making. (1988)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Asset/liability management under uncertainty for fixed-income securities (1995)Financial planning via multi-stage stochastic optimization (2003)An intelligent financial portfolio trading strategy using deep Q-learning (2020)Simulation Modeling and Analysis. (1983)Inventory management and production planning and scheduling (1999)Scenarios for Multistage Stochastic Programs (2000)Proceedings of the 2002 Winter Simulation Conference (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Evaluation of scenario-generation methods for stochastic programming (2003)Prepayments on fixed-rate mortgage-backed securities (1989)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data (2006)An Empirical Comparison of Option‐Pricing Models in Hedging Exotic Options (2009)Conditional value-at-risk for general loss distributions (2002)Theory and Applications of Robust Optimization (2010)Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Arbitrage Theory in Continuous Time (2004)Solving stochastic programs with simple recourse (1983)Stochastic network optimization models for investment planning (1989)Solving long-term financial planning problems via global optimization (1997)Operational Tools in the Management of Financial Risks (1998)Robust optimization of conditional value at risk and portfolio selection (2008)
this work references cited by second hop

References

  • 2011Introduction to Stochastic Programming6,469 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1999Monte Carlo bounding techniques for determining solution quality in stochastic programs705 cited
  • 1991Bond and Option Pricing when Short Rates are Lognormal667 cited
  • 1972A Dynamic Model for Bond Portfolio Management182 cited
  • 1993Financial Optimization142 cited
  • 1995A stochastic programming model for money management126 cited
  • 1996Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing41 cited
  • 1993Constructing Optimal Samples from a Binomial Lattice28 cited

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