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Karl Frauendorfer
Title
Prof. Dr.
Last Name
Frauendorfer
First name
Karl
Email
karl.frauendorfer@unisg.ch
Phone
+41 71 224 2105
Now showing
1 - 4 of 4
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PublicationRefinancing Mortgages in SwitzerlandThis paper presents a multistage stochastic programming model for refinancing mortgages with non-contractual maturity under liquidity restrictions in the market. An extension to the management of other products such as savings accounts is straightforward. The evolution of interest rates is modelled by principal components for short-term and a two-factor mean reversion model with long rate and spread for long-term planning. Barycentric approximation provides tight lower and upper bounds for the original problem with relative discretization errors in the order of one per cent.
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PublicationMultistage stochastic programming: Barycentric approximation(Kluwer Academic Publishers, 2001)
;Parkalos, P.Floudas, C. A.Type: book section -
PublicationStochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts(Kluwer Academic Publishers, 2001)
;Ziemba, W.T.Mulvey, J.M. -
PublicationBarycentric Approximation of Stochastic Interest Rate Processes(Cambridge University Press, 1998)
;Mulvey, J.M.Ziemba, W.T.The incorporation of single-factor interest rate models within the stochastic programming methodology is investigated and applied to multiperiod investment. Barycentric approximation is used for discretizing the stochastic factors and for generating scenario trees which take the various term structure movements into account. It is shown that employing the Vasicek model for the instantaneous rate process preserves convexity of the stochastic multistage program and, hence, guarantees information on the accuracy of the approximate investment strategies. To the contrary, the convexity of the program cannot be assessed if the square root process due to Cox-Ingersoll-Ross is used for the instantaneous rate. In this case, the approximate investment policies and their associated interest surplus may be accepted as estimates. Numerical results for 8-period and 6-period investment problems are discussed.Type: book section