scholarly journals Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach

2014 ◽  
Vol 7 (4) ◽  
pp. 130-149
Author(s):  
Konstantinos Kiriakopoulos ◽  
Alexandros Koulis
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Stochastic Control ◽  
Control Approach ◽  
Interest Rate Derivative

A Stochastic Control Approach to Risk Management Under Restricted Information

2000 ◽  
Vol 10 (2) ◽  
pp. 277-288 ◽  
Author(s):  
Wolfgang J. Runggaldier ◽  
Anna Zaccaria
Keyword(s):  
Risk Management ◽  
Stochastic Control ◽  
Control Approach

Interest Rate Cycles and Corporate Risk Management

2009 ◽  
Author(s):  
Peter Christoffersen ◽  
Amrita Nain ◽  
Jaideep S. Oberoi
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Corporate Risk Management ◽  
Corporate Risk

scholarly journals Risk Management for Bonds with Embedded Options

Mathematics ◽  
2020 ◽  
Vol 8 (5) ◽  
pp. 790
Author(s):  
Antonio Díaz ◽  
Marta Tolentino
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Interest Rates ◽  
Interest Rate Risk ◽  
Interest Rate Models ◽  
Management Measures ◽  
Interest Rate Risk Management ◽  
Embedded Options ◽  
The Interest Rate ◽  
Interest Rate Change

This paper examines the behavior of the interest rate risk management measures for bonds with embedded options and studies factors it depends on. The contingent option exercise implies that both the pricing and the risk management of bonds requires modelling future interest rates. We use the Ho and Lee (HL) and Black, Derman, and Toy (BDT) consistent interest rate models. In addition, specific interest rate measures that consider the contingent cash-flow structure of these coupon-bearing bonds must be computed. In our empirical analysis, we obtained evidence that effective duration and effective convexity depend primarily on the level of the forward interest rate and volatility. In addition, the higher the interest rate change and the lower the volatility, the greater the differences in pricing of these bonds when using the HL or BDT models.

scholarly journals Stochastic Control for DC–DC Power Converters: A Generalized Minimum Variance Control Approach

2020 ◽  
Vol 53 (2) ◽  
pp. 13410-13417
Author(s):  
Kevin E. Lucas ◽  
Daniel J. Pagano ◽  
Douglas A. Plaza ◽  
David Alejandro Vaca—Benavides ◽  
Sara J. Ríos
Keyword(s):  
Stochastic Control ◽  
Power Converters ◽  
Minimum Variance ◽  
Control Approach ◽  
Minimum Variance Control ◽  
Dc Power

A Stochastic Control Approach to Optimally Designing Hierarchical Flash Sets in P300 Communication Prostheses

2012 ◽  
Vol 20 (1) ◽  
pp. 102-112 ◽  
Author(s):  
Rui Ma ◽  
Navid Aghasadeghi ◽  
Julian Jarzebowski ◽  
Timothy Bretl ◽  
Todd P. Coleman
Keyword(s):  
Stochastic Control ◽  
Control Approach
Sign in / Sign up

Export Citation Format

Share Document