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dc.contributor.authorVialas, Christine
dc.contributor.authorTouzi, Nizar
dc.contributor.authorAïd, René
dc.date.accessioned2013-07-02T07:55:58Z
dc.date.available2013-07-02T07:55:58Z
dc.date.issued2012-01
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11497
dc.language.isoenen
dc.subjectHJM modelingen
dc.subjectAssets and Liability Managementen
dc.subjectCalibrationen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelG23en
dc.titleAn arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Managementen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still satisfying the no-arbitrage constraints. We describe the methodology to calibrate the model in this particular constrainted setting, i.e. to find the model parameters as a function of the expected statistical properties. We precisely give the constraints on these expectations to ensure the existence of a solution.en
dc.relation.isversionofjnlnameBankers, Markets & Investors
dc.relation.isversionofjnlissue116en
dc.relation.isversionofjnldate2012-01
dc.relation.isversionofjnlpages4-19en
dc.relation.isversionofjnlpublisherRevue-Banqueen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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