Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The numeric...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2014-10-01
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Series: | Journal of Risk and Financial Management |
Subjects: | |
Online Access: | http://www.mdpi.com/1911-8074/7/4/130 |