Self-financing trading strategies for sliding, rolling-horizon, and consol bonds

Mathematical Finance

Volumn 9, Issue 4, 1999, Pages 361-385

  Rutkowski, Marek ^a  

^a INSTITUTE OF MATHEMATICS   (Poland)

Author keywords

Consol bond; Discount bond; Rolling horizon bond; Sliding bond; Term structure model

Indexed keywords

EID: 0033242805     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00074     Document Type: Article

References (12)

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