Interest rate models: an introduction
From MaRDI portal
Recommendations
- Interest rate modeling. Theory and practice.
- Interest-rate management
- An elementary introduction to stochastic interest rate modeling.
- Interest rate models -- theory and practice. With smile, inflation and credit
- Analytical finance. Volume II. The mathematics of interest rate derivatives, markets, risk and valuation
Cited in
(66)- A general framework for time-changed Markov processes and applications
- Calibration of short rate term structure models from bid-ask coupon bond prices
- Dynamic asset allocation under VaR constraint with stochastic interest rates
- Interest rate term structure modelling
- Three retirement decision models for defined contribution pension plan members: a simulation study
- An application of comonotonicity theory in a stochastic life annuity framework
- A Kesten-type bound for sums of randomly weighted subexponential random variables
- Randomised mixture models for pricing kernels
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Quantifying credit and market risk under Solvency II: standard approach versus internal model
- Interest rate models: an infinite dimensional stochastic analysis perspective
- Factor risk quantification in annuity models
- Three-factor interest rate models
- Interest rate modelling.
- Term structure extrapolation and asymptotic forward rates
- An equilibrium model of debt and bankruptcy
- An elementary introduction to stochastic interest rate modeling.
- Heat kernel models for asset pricing
- Interest rate modeling: post-crisis challenges and approaches
- A cyclical square-root model for the term structure of interest rates
- Adjustable and fixed interest rates mortgage markets modelling
- Modeling and management of mortality risk: a review
- A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
- A direct LU solver for pricing American bond options under Hull-White model
- Rational term structure models with geometric Lévy martingales
- Time evolution of dense multigraph limits under edge-conservative preferential attachment dynamics
- Stationary and nonstationary behaviour of the term structure: a nonparametric characterization
- Harnack and super Poincaré inequalities for generalized Cox-Ingersoll-Ross model
- The multi-curve potential model
- Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- scientific article; zbMATH DE number 1253582 (Why is no real title available?)
- scientific article; zbMATH DE number 1487970 (Why is no real title available?)
- Consistent yield curve prediction
- Perpetual points and periodic perpetual loci in maps
- Analytical finance. Volume II. The mathematics of interest rate derivatives, markets, risk and valuation
- Social discounting and the long rate of interest
- A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING
- Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality
- A general model system related to affine stochastic differential equations
- THE CARMA INTEREST RATE MODEL
- Hedging annuity risks with the age-period-cohort two-population gravity model
- The impact of DC pension systems on population dynamics
- Consistent parallel and proportional shifts in the term structure of futures prices
- An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
- Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
- Coherent chaos interest-rate models
- CAT bond pricing under a product probability measure with pot risk characterization
- Calibration and parameterization methods for the Libor market model
- On dependence of volatility on return for stochastic volatility models
- scientific article; zbMATH DE number 969940 (Why is no real title available?)
- Annuity uncertainty with stochastic mortality and interest rates
- The construction of a quadratic predictor of the discounted renewal claims with dependence
- Interest rate models -- theory and practice
- Log-Harnack inequality and exponential ergodicity for distribution dependent Chan-Karolyi-Longstaff-Sanders and Vasicek models
- Pricing guaranteed annuity options in a linear-rational Wishart mortality model
- An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
- Minimax rates of convergence for the nonparametric estimation of the diffusion coefficient from time-homogeneous SDE paths
- Semi-Markov-modulated exponential-affine bond prices
- Adaptation Time to Climate-Induced Extreme Events—Impact of Trend, Seasonality, and Interest Rate Stochasticity
- A lattice-based approach for life insurance pricing in a stochastic correlation framework
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
- Interest rate models -- theory and practice. With smile, inflation and credit
- Assessing inflation risk in non-life insurance
- Management of a pension fund under mortality and financial risks
This page was built for publication: Interest rate models: an introduction
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5478316)
