We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
A DISCRETE-TIME MODEL FOR REINVESTMENT RISK IN BOND MARKETS.
- Authors
Dahl, Mlkkel
- Abstract
In this paper we propose a discrete-time model with fixed maximum time to maturity of traded bonds. At each trading time, a bond matures and a new bond is introduced in the market, such that the number of traded bonds is constant. The entry price of the newly issued bond depends on the prices of the bonds already traded and a stochastic term independent of the existing bond prices. Hence, we obtain a bond market model for the reinvestment risk, which is present in practice, when hedging long term contracts. In order to determine optimal hedging strategies we consider the criteria of super-replication and risk-minimization.
- Subjects
DISCRETE-time systems; MATHEMATICAL models of investments; BOND market; BOND transfer; INVESTMENT analysis
- Publication
Astin Bulletin, 2007, Vol 37, Issue 2, p235
- ISSN
0515-0361
- Publication type
Article
- DOI
10.2143/AST.37.2.2024066