783 Sensitivity Analysis on Inputs for a Bond Portfolio Management Model Marida Rertocchi~, Jitka Dupa&wPa) and Vittorio Moriggia5, Abstract Management of portfolio of fixed income securities is formulated as a multiperiod scenario basedstochastic program with random recourse. Stochasticity is introduced by modelling the evolution of interest rates through scenarios based on a binomial lattice obtained by the Black-Derman-Toy approach. The main aim of the contribution is to discuss the sensitivity of the solution of the stochastic program with respect to various levels of the model input (the choice of scenarios, the fitted binomial lattice and the term structure). An application to the Italian market is given. La gestion du portefeuille des titres a revenus fixe est formult5epar un programme stochastique fond6 sur un scenario multip&iodique avec recursion aleatoire. La stochasticit a et6 introduite par la simulation de 1 ‘evolution des taux d ‘int&& a travers les scenarios basessur un reseau binomial realize par la modele de Black- Derman-Toy. Le but principal de cette contribution etudie la sensibilitt! de la solution du programme stochastique a 1 ‘egard de diverses niveaux des don& introduites dans le mod&e (le choix des scenarios, le r&au binomial adapt6 et la structure a terme). On presente une application dans le march6 italien. Keywords Stochastic program, interest rate scenarios, sensitivity. University of Bergamo, Department of Mathematics, Piazza Rotate 2, I - 24129 Bergamo (Italy); Tel: + 39-35-277517, Fax: + 39-35-249598, E-mail: mmida@ibguniv.unibg.it Charles University Prague, Department of Probability and Mathematical Statistics, SokolovskA 83, CZ - 18600 Prague (Czech-Republic); Tel/Fax: + 42-2-2323316, E-mail: dupacova@karlin.mff.cuni.cz University of Bergamo, Department of Mathematics, Piaup Rotate 2, I - 24129 Bergamo (Italy); Tel: + 39-35-277711, Fax: + 39-35-249598, E-mail: cmsvitt@ibguniv.unibg.it