Portfolio managers in the new fixed-income securities have to cope with various forms of
uncertainty, in addition to the usual interest rate changes. Uncertainy in the timing and …

Ais meln Interesse filr das Zinsrisikomanagement geweckt wurde, war kaum abzusehen,
wieviel Aufmerksamkeit und Bedeutung diesem Forschungsgebiet in den folgenden Jahren …

This paper develops and employs a multiperiod goal programming model to examine the
normative effects of changing interest rates on the rearrangements of depository bank …

Over the past decade, optimization models have been widely used to help select bond
portfolios. Several different formulations are popular. The purposes of this paper are to …

The purpose of this article is to provide a snapshot of the field of Asset Liability Management
(ALM) from a theoretical and modeling perspective. Asset-Liability Management has grown …

Abstract The Brennan and Schwartz two-factor model of the term structure is re-examined
using constant-duration long-term yields in place of the fluctuating-duration consol yields …

Was sind die Ursachen von Kursänderungsrisiken bei festverzinslichen Wertpapieren?
Welche Effekte haben Bonitätsänderungen auf diese Wertpapiere? Wie können Anleger …

Futures Bibliography Page 1 Futures Bibliography Edited by Robert T. Daigler This issue of
The Journal of Futures Markets initiates a new section devoted to source material related to …

This research attempts to explain India as an upcoming Debt Market with the introduction of
the new instruments like “Inflation Indexed Bonds”(both for the retail and the institutional …

For many years interest‐rate and currency swaps have been used by multinational
corporations' management as a hedge against unforeseen contingencies in the capital …