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A Mathematical Model for the Gilt-Edged Market

Published online by Cambridge University Press:  03 October 2014

R. S. Clarkson
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Synopsis

This paper investigates what general form of price model is required to represent a market that is in equilibrium under switching action and describes how a special case of this general price model can be applied to the gilt-edged market, with particular emphasis on long-dated stocks. Applications of the mathematical model are then developed in a form that could be used by a life office or pension fund for the management of a portfolio of long-dated British Government stocks. Finally, a comparison is made between conventional yield curve methods of analysis and methods based on this mathematical model.

Type
Research Article
Information
Transactions of the Faculty of Actuaries , Volume 36 , 1977 , pp. 85 - 160
Copyright
Copyright © Institute and Faculty of Actuaries 1977

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References

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