Option-based risk management of a bond portfolio under regime switching interest rates

被引：5
|
作者：
Antonelli F. [1 ]
Ramponi A. [2 ]
Scarlatti S. [2 ]
机构：
[1] Department of Mathematics, University of L'Aquila, L'Aquila
[2] Department of Economics, Financial Studies and Quantitative Methods, University of Roma, Tor Vergata
来源：
Decisions in Economics and Finance | 2013年 / 36卷 / 1期
关键词：
Bond portfolio; Regime switching models; Semi-affine term structure; T-forward measures; Value at Risk;
D O I：
10.1007/s10203-011-0123-1
中图分类号：
学科分类号：
摘要：
In the present paper, we assume an economy with regime switching short rates and show how the Value at Risk of a financial position on zero-coupon bonds, hedged by buying protective put options under budget constraints, can be minimized by selecting optimal (regime-dependent) strike prices. © 2011 Springer-Verlag.
引用
收藏
页码：47 / 70
页数：23
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