Pages that link to "Item:Q855091"
From MaRDI portal
The following pages link to Interest rate models -- theory and practice. With smile, inflation and credit (Q855091):
Displaying 50 items.
- The hexanomial lattice for pricing multi-asset options (Q272652) (← links)
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498) (← links)
- Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes (Q297142) (← links)
- Impulse control of pension fund contributions, in a regime switching economy (Q297413) (← links)
- A cyclical square-root model for the term structure of interest rates (Q299796) (← links)
- Closed-form solutions for guaranteed minimum accumulation and death benefits (Q303739) (← links)
- A direct LU solver for pricing American bond options under Hull-White model (Q313650) (← links)
- A fast calibrating volatility model for option pricing (Q319158) (← links)
- A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (Q320915) (← links)
- Explicit density approximations for local volatility models using heat kernel expansions (Q340130) (← links)
- Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
- A tractable LIBOR model with default risk (Q356479) (← links)
- A heat kernel approach to interest rate models (Q403855) (← links)
- A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond (Q411529) (← links)
- Option pricing under joint dynamics of interest rates, dividends, and stock prices (Q433123) (← links)
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406) (← links)
- Computing survival probabilities based on stochastic differential models (Q464647) (← links)
- The impact of quantitative easing on the US term structure of interest rates (Q475332) (← links)
- Best estimate calculations of savings contracts by closed formulas: application to the ORSA (Q487620) (← links)
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (Q492634) (← links)
- Chapman-Kolmogorov lattice method for derivatives pricing (Q505800) (← links)
- Intensity-based framework for surrender modeling in life insurance (Q506089) (← links)
- The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (Q535203) (← links)
- Enhancing credit default swap valuation with meshfree methods (Q635199) (← links)
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (Q659168) (← links)
- A linear algebraic method for pricing temporary life annuities and insurance policies (Q661219) (← links)
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices (Q661249) (← links)
- An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve (Q670282) (← links)
- Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (Q708279) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices (Q828017) (← links)
- A majorization algorithm for constrained correlation matrix approximation (Q847204) (← links)
- Pricing and hedging Asian basket spread options (Q848538) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- Optimal dividends under a stochastic interest rate (Q896771) (← links)
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (Q928499) (← links)
- Optimal prepayment and default rules for mortgage-backed securities (Q965782) (← links)
- Hedging of guaranteed maturity benefits in unit-linked life insurance (Q977306) (← links)
- On parallel asset-liability management in life insurance: a forward risk-neutral approach (Q991133) (← links)
- Analytical approximations for prices of swap rate dependent embedded options in insurance products (Q1003826) (← links)
- Convexity adjustment for constant maturity swaps in a multi-curve framework (Q1621904) (← links)
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
- A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
- Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
- Polynomial chaos expansion approach to interest rate models (Q1657904) (← links)
- Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts (Q1667420) (← links)
- A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
- Equity-linked life insurance based on traditional products: the case of select products (Q1689023) (← links)
