Valuation and risk of floating rate bonds on the French market: optimal control and storage problem in an uncertain universe.

Authors
Publication date
1990
Publication type
Thesis
Summary In the first part, valuation and risk analysis techniques for floating rate bonds are presented. Actuarial tools are applied to the valuation of illiquid securities. Another technique specific to these assets, based on arbitrage asset pricing models, is also developed. It allows us to measure the impact of a deformation of the yield curve on these products. In the second part, the concepts of the theory of viscosity solutions are applied to the solution of a stochastic optimal control problem with state constraints and unbounded domain.
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