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Interaction between asset liability management and risk theory

Griselda Deelstra and Jacques Janssen (1998) APPLIED STOCHASTIC MODELS AND DATA ANALYSIS. 14(4). p.295-307
Please use this url to cite or link to this publication:
author
organization
year
type
journalArticle (original)
publication status
published
subject
keyword
Omstein-Uhlenbeck process, stochastic differential equation, probability of mismatching, ALM, option theory, 1ST-PASSAGE DENSITY, BOUNDARY, OPTIONS
journal title
APPLIED STOCHASTIC MODELS AND DATA ANALYSIS
Appl. Stoch. Model. Data Anal.
volume
14
issue
4
pages
295 - 307
Web of Science type
Article
Web of Science id
000080425200005
ISSN
8755-0024
DOI
10.1002/(SICI)1099-0747(199812)14:4<295::AID-ASM359>3.3.CO;2-0
language
English
UGent publication?
yes
classification
A1
copyright statement
I have transferred the copyright for this publication to the publisher
id
137411
handle
http://hdl.handle.net/1854/LU-137411
date created
2004-01-14 13:37:00
date last changed
2016-12-19 15:38:34
@article{137411,
  author       = {Deelstra, Griselda and Janssen, Jacques},
  issn         = {8755-0024},
  journal      = {APPLIED STOCHASTIC MODELS AND DATA ANALYSIS},
  keyword      = {Omstein-Uhlenbeck process,stochastic differential equation,probability of mismatching,ALM,option theory,1ST-PASSAGE DENSITY,BOUNDARY,OPTIONS},
  language     = {eng},
  number       = {4},
  pages        = {295--307},
  title        = {Interaction between asset liability management and risk theory},
  url          = {http://dx.doi.org/10.1002/(SICI)1099-0747(199812)14:4{\textlangle}295::AID-ASM359{\textrangle}3.3.CO;2-0},
  volume       = {14},
  year         = {1998},
}

Chicago
Deelstra, Griselda, and Jacques Janssen. 1998. “Interaction Between Asset Liability Management and Risk Theory.” Applied Stochastic Models and Data Analysis 14 (4): 295–307.
APA
Deelstra, G., & Janssen, J. (1998). Interaction between asset liability management and risk theory. APPLIED STOCHASTIC MODELS AND DATA ANALYSIS, 14(4), 295–307.
Vancouver
1.
Deelstra G, Janssen J. Interaction between asset liability management and risk theory. APPLIED STOCHASTIC MODELS AND DATA ANALYSIS. 1998;14(4):295–307.
MLA
Deelstra, Griselda, and Jacques Janssen. “Interaction Between Asset Liability Management and Risk Theory.” APPLIED STOCHASTIC MODELS AND DATA ANALYSIS 14.4 (1998): 295–307. Print.