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Mandrekar, V. and Zhang, S. (1993) Skorohod Integral and Differentiation for Gaussian Processes. In: Ghosh, J.K., Mitra, S.K., Parthasarathy, K.R. and Prakasa Rao, B.L.S., Eds., Statistics and Probability: A Raghu Raj Bahadur Festschrift, Wiley Eastern Limited, New Delhi, 395-410.

has been cited by the following article:

• TITLE: Implementation of Stochastic Yield Curve Duration and Portfolio Immunization Strategies

  AUTHORS: Sindre Duedahl

  KEYWORDS: ALM, Risk Management, Interest rate Derivatives, Stochastic Duration, Immunization, SPDE, Musiela Equation

  JOURNAL NAME: Journal of Mathematical Finance, Vol.6 No.3, August 24, 2016

  ABSTRACT: In this paper, we propose an implementation method for a new concept of stochastic duration which can be used to measure the sensitivity of complex bond portfolios with respect to the fluctuations of the yield surface. Our approach relies on a first order approximation of a chaos expansion in the direction of the yield surface, whose dynamics is described by the Musiela equation. Using the latter technique, we obtain an infinite-dimensional generalization of the classical Macaulay duration, which can be interpreted as the derivative of a first order approximation of a Taylor series on locally convex spaces.