The bond portfolio management problem is formulated as a multiperiod stochastic program
using interest rate scenarios. The scenarios are sampled from the binomial lattice from a …

Yield curve and yield volatilities are important inputs for pricing interest rate deriva tives, for
generation of interest rate scenarios, etc. Nonanticipated errors in their estimates may …

Abstract The Amin/Bodurtha framework was developed for the valuation of American-style
financial instruments driven by three sources of uncertainty—domestic interest rate risk …

Bond market and stock market are the two most important financial markets. Study on the
volatility of these two markets has always received considerable great attention because …

Abstract The Amin and Bodurtha (1995) framework, building on a discrete-time version of
the Heath, Jarrow, and Morton (1992) term structure model and the binomial model of Cox …

Within the framework of sensitivity of the optimal value of the portfolio management problem
described in Dupaeová and Bertocchi (1996), Dupaeová and Bertocchi (1997) with respect …

The purpose of this research is to analyze the relationship of variance in bond price
changes, VP, to the level of interest rates (yields). We start by analyzing first and second …