Risk Management under a Two-Factor Model of the Term Structure of Interest Rates
RECERCAT - Dipòsit de Recerca de Catalunya
different situations in order to manage market risk and yield curve risk. By means of these measures, we are able to compute... the yield curve. Finally, a proposal of solution of the limitations of conventional duration by means of these new measures...
Revenue Management under General Discrete Choice Model of Consumer Behavior
RECERCAT - Dipòsit de Recerca de Catalunya
there are few models or methodologies available to exploit this phenomenon within yieldmanagement systems. We make some progress on filling this void. Specifically, we develop a model of yieldmanagement in which the buyers' behavior is modeled...
