Current Topics in Quantitative Finance
Edition: 1 edition
Publisher: Physica-Verlag Heidelberg
Published: October 29, 1999
Language: eng
Format: Paperback
Number of pages: 139
ISBN-13: 9783790812312
Subjects: Budgeting & financial management; Business mathematics; Finance; Financial Economics (General); Mathematical Models In Economics; Business & Economics; Business / Economics / Finance; Operations Research; Business/Economics; Mathematical models; Accounting - General; Asset Pricing; Business & Economics / Finance; Corporate Finance; Decision Theory; Entscheidungstheorie; Financial Derivates; Finanzderivate; Finanzierung; Economics - General; Congresses
First sentence: In the sensitivity analysis of the bond portfolio management problem, that has been formulated as a stochastic program based on interest rate scenarios, see for instance Dupacova and Bertocchi (1996), Golub and al. (1995), the main source of uncertainty comes from the evolution of interest rates.