2023-04-132023-04-13https://www.alexandria.unisg.ch/handle/20.500.14171/59007Aim: Interest rate risk hedging of an entire bank balance with multistage stochastic optimizations techniques. Alternative specifications of the constraints and objective function are evaluated.Multistage Stochastic OptimizationInterest rate derivativesInterest rate risk managementInterest rate risk hedging of a bank balance (Phase 2)industry project