scientific article

Publication date: 18 November 2001

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (64)

Optimal contingent claims. ⋮ The stochastic string model as a unifying theory of the term structure of interest rates ⋮ A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES ⋮ Pricing American interest rate option on zero-coupon bond numerically ⋮ THEORY AND CALIBRATION OF SWAP MARKET MODELS ⋮ A cyclical square-root model for the term structure of interest rates ⋮ A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ On swap rate dynamics: to freeze or not to freeze? ⋮ A class of arbitrage-free log-normal-short-rate two-factor models ⋮ Markov interest rate models ⋮ A dimension reduction Shannon-wavelet based method for option pricing ⋮ Monte Carlo Euler approximations of HJM term structure financial models ⋮ Valuation of caps and swaptions under a stochastic string model ⋮ Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions ⋮ A tractable interest rate model with explicit monetary policy rates ⋮ Independent Component Analysis and Immunization: An Exploratory Study ⋮ Multi-curve HJM modelling for risk management ⋮ Convergence analysis of power penalty method for American bond option pricing ⋮ Polynomial algorithms for pricing path-dependent interest rate instruments ⋮ Yield Curve Smoothing and Residual Variance of Fixed Income Positions ⋮ EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL ⋮ Generic market models ⋮ Shape factors and cross-sectional risk ⋮ Numerical pricing of American put options on zero-coupon bonds. ⋮ Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk ⋮ A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models ⋮ Pricing American bond options using a penalty method ⋮ Unnamed Item ⋮ Yield curve shapes and the asymptotic short rate distribution in affine one-factor models ⋮ Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model ⋮ A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS ⋮ Ab initio yield curve dynamics ⋮ AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL ⋮ Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration ⋮ Efficient Factor Models For Yield Curve Dynamics ⋮ Two-factor convertible bonds valuation using the method of characteristics/finite elements ⋮ Vol-Bond: an analytical solution ⋮ A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation ⋮ Solutions of two-factor models with variable interest rates ⋮ Interest Rate Risk Management ⋮ MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX ⋮ MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH ⋮ Applying a power penalty method to numerically pricing American bond options ⋮ A comparison of single factor Markov-functional and multi factor market models ⋮ Bestimmung des Partizipationssatzes bei der Aktienindexgebundenen Lebensversicherung ⋮ The LIBOR model dynamics: Approximations, calibration and diagnostics ⋮ Pricing rate of return guarantees in regular premium unit linked insurance ⋮ Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis ⋮ Static arbitrage bounds on basket option prices ⋮ A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING ⋮ A Hybrid Model for Pricing and Hedging of Long-dated Bonds ⋮ A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION? ⋮ A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates ⋮ Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model ⋮ Pricing of path-dependent American options by Monte Carlo simulation ⋮ MultiFactor Valuation of Floating Range Notes ⋮ BOND MARKET MODEL ⋮ VALUES OF MORTGAGES WITH TOP-UP PAYMENT OPTIONS ⋮ Consistent fitting of one-factor models to interest rate data. ⋮ An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling ⋮ MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS ⋮ A two-factor model for low interest rate regimes ⋮ A new parameterization for the drift-free simulation in the Libor market model ⋮ Cash Flow Matching

This page was built for publication: