Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099412 | Journal of Economic Dynamics and Control | 2008 | 48 Pages |
Abstract
Finally, the pieces of the framework are integrated in a valuation formula, we here use the approach of Jarrow and Van Deventer [1998. The arbitrage-free valuation and hedging of demand deposits and credit card loans. Journal of Banking and Finance 22, 249-272], and a value is assigned to a portfolio of demand deposits. This valuation formula also forms the basis for the risk management of the interest rate risk embedded in the demand deposits.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Kaj Nyström,