The relevance of MCDM for financial decisions

WG Hallerbach, J Spronk - Journal of Multi‐Criteria Decision …, 2002 - Wiley Online Library
For people working in finance, either in academia or in practice or in both, the combination
of 'finance'and 'multiple criteria'is not obvious. However, we believe that many of the tools …

[BOOK][B] Interest rate risk modeling: The fixed income valuation course

SK Nawalkha, GM Soto, NA Beliaeva - 2005 - books.google.com
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income
Valuation and Risk Analysis comprehensively covers the most definitive work on interest …

151 Trading Strategies

Z Kakushadze, JA Serur - Z. Kakushadze and JA Serur, 2018 - papers.ssrn.com
We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Duration models and IRR management: A question of dimensions?

GM Soto - Journal of Banking & Finance, 2004 - Elsevier
This paper compares the immunization performance of alternative single and multiple factor
duration models, using Spanish government bond data, over 1, 2 and 3-year horizons. The …

[HTML][HTML] Immunization strategies for funding multiple inflation-linked retirement income benefits

C Simões, L Oliveira, JM Bravo - Risks, 2021 - mdpi.com
Protecting against unexpected yield curve, inflation, and longevity shifts are some of the
most critical issues institutional and private investors must solve when managing post …

Principal component analysis of yield curve movements

JR Barber, ML Copper - Journal of Economics and Finance, 2012 - Springer
An important issue in interest rate modeling is the number and nature of the random factors
driving the evolution of the yield curve. This paper uses principal component analysis to …

[PDF][PDF] Immunization strategies for funding multiple inflation-linked retirement income benefits. Risks 9 (4): 60

C Simões, L Oliveira, JM Bravo - 2021 - academia.edu
Protecting against unexpected yield curve, inflation, and longevity shifts are some of the
most critical issues institutional and private investors must solve when managing post …

Towards an immunization perfect model?

JI De La Peña, I Iturricastillo, R Moreno… - … Journal of Finance & …, 2021 - Wiley Online Library
Immunization is an investment strategy often used by insurance companies. Usually, this
strategy takes into account the first‐and second‐order of Taylor series (Duration and …

Immunization derived from a polynomial duration vector in the Spanish bond market

GM Soto - Journal of banking & finance, 2001 - Elsevier
This paper focuses on the Spanish government debt market in an attempt to evaluate the
immunization performance of the polynomial duration model of Chambers and Carleton …

Alternative models for hedging yield curve risk: An empirical comparison

N Carcano, DO Hakim - Journal of Banking & Finance, 2011 - Elsevier
We test alternative models of yield curve risk by hedging US Treasury bond portfolios
through note/bond futures. We show that traditional implementations of models based on …