Asset and Liability Management Handbook

Gautam Mitra · Katharina Schwaiger

24 citations0/0 files storedPalgrave Macmillan UK eBooks

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Risk and Portfolio Optimization Stochastic processes and financial applications Risk Management in Financial Firms

Abstract

Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision model

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1985A Theory of the Term Structure of Interest Rates 2011Introduction to Stochastic Programming 1977An equilibrium characterization of the term structure 1979Option pricing: A simplified approach 1959Portfolio Selection: Efficient Diversification of Investments 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2010Stochastic Programming

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