scientific article; zbMATH DE number 1505639

zbMath0960.91033MaRDI QIDQ4504336

Antoon Pelsser

Publication date: 13 September 2000

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

zbMATH Keywords

interest rateyield curveforward measureswapoptions. LIBOR model

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Related Items (24)

Option pricing with Legendre polynomials ⋮ Pricing Equity Swaps in an Economy with Jumps ⋮ The Lévy Swap Market Model ⋮ A direct LU solver for pricing American bond options under Hull-White model ⋮ A novel Monte Carlo approach to hybrid local volatility models ⋮ Polynomial algorithms for pricing path-dependent interest rate instruments ⋮ Eurodollar futures pricing in log-normal interest rate models in discrete time ⋮ Stochastic elasticity of variance with stochastic interest rates ⋮ A numerical method for pricing spread options on LIBOR rates with a PDE model ⋮ Pricing cross-currency interest rate swaps under the Lévy market model ⋮ Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions ⋮ Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics ⋮ Pricing and hedging guaranteed annuity options via static option replication. ⋮ Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility ⋮ Valuation of guaranteed annuity options using a stochastic volatility model for equity prices ⋮ EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL ⋮ A hybrid commodity and interest rate market model ⋮ Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility ⋮ A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile ⋮ Forward interest rate curves in discrete time settings driven by random fields ⋮ MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL ⋮ Strong consistency of maximum likelihood estimators for a discrete-time random field HJM-type interest rate model ⋮ Random field forward interest rate models, market price of risk and their statistics ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract

This page was built for publication: