Optimization-Based Models for Measuring and Hedging Risk in Fixed Income Markets.
| Main Author: | |
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| Format: | eBook |
| Language: | English |
| Published: |
Linköping :
Linkopings Universitet,
2019.
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| Edition: | 1st ed. |
| Series: | Linköping Studies in Science and Technology. Dissertations Series
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| Subjects: | |
| Online Access: | Click to View |
Table of Contents:
- Intro
- Abstract
- Sammanfattning
- Preface
- Acknowledgments
- List of Papers
- Author Statements
- Contents
- Introduction
- Market background
- Interest Rates
- Measuring Term Structures of Interest Rates
- Measuring the Systematic Risk Factors of Interest Rates
- Performance Attribution
- Measuring Interest Rate Risk
- Hedging Interest Rate Risk
- Credit Risk
- Reduced-Form Models
- Measuring the Financial Quantities on the Credit Risk Market
- Contribution
- Future Research
- Bibliography
- Nomenclature.