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dc.date.accessioned2013-03-12T08:19:10Z
dc.date.available2013-03-12T08:19:10Z
dc.date.issued2010en_US
dc.date.submitted2011-06-28en_US
dc.identifier.urihttp://hdl.handle.net/10852/10221
dc.description.abstractBond duration in its basic deterministic form is a concept well understood. Its meaning in the context of a yield curve on a stochastic path is less well developed. We extend the basic idea to a stochastic setting. More precisely, we introduce the concept of stochastic duration as a Malliavin derivative in the direction of a stochastic yield surface modeled by the Musiela equation. Further, using this concept we also propose a mathematical framework for the construction of immunization strategies (or delta hedges) of portfolios of interest-rate-sensitive securities with respect to the fluctuation of the whole yield surface.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.titleSENSITIVITY WITH RESPECT TO THE YIELD CURVE: DURATION IN A STOCHASTIC SETTINGen_US
dc.typeResearch reporten_US
dc.date.updated2011-06-28en_US
dc.creator.authorKettler, Paul C.en_US
dc.creator.authorProske, Franken_US
dc.creator.authorRubtsov, Marken_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-28041en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo130903en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10221/1/pm10-10.pdf


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