Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model
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Publication:2960558
DOI10.1007/978-3-319-42082-0_17zbMath1356.91088OpenAlexW2555388897MaRDI QIDQ2960558
Jan R. M. Röman, Anatoliy Malyarenko, Oskar Schyberg
Publication date: 17 February 2017
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-42082-0_17
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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