Cashflow replication with mismatch constraints
Cashflow replication with mismatch constraints
About this item
Full title
Cashflow replication with mismatch constraints
Author / Creator
Publisher
London: Incisive Media Limited
Journal title
The journal of risk, 2012-07, Vol.14 (4), p.115
Language
English
Formats
Publication information
Publisher
London: Incisive Media Limited
Subjects
More information
Scope and Contents
Contents
The replication of a portfolio of cashflow instruments with another set of cashflow instruments is frequently used in pricing and hedging. In an insurance context, a replicating portfolio is also used to replace nontradable policies, such as life annuities, with a best-hedging tradable cashflow portfolio. When applying a replicating portfolio, a ke...
Alternative Titles
Full title
Cashflow replication with mismatch constraints
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_1037802879
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1037802879
Other Identifiers
ISSN
1465-1211
E-ISSN
1755-2842
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