Stochastic models for bond prices, function space integrals and immunization theory

DOI10.1016/0167-6687(88)90073-XzbMath0685.62085MaRDI QIDQ1262066

Elias S. W. Shiu, John A. Beekman

Publication date: 1988

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

term structure of interest rates; conditional expectation; interest rate; futures; duration; Ornstein-Uhlenbeck; process; Itô's lemma; no-arbitrage principle; Brownian bridge process; function space integrals; bond-price partial differential equation; diffusion models for bond prices; immunization theory; spot interest rate; yield rate

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Moments of the present value of a portfolio of policies, Long-Term Yield Rates for Actuarial Valuations, Interest and mortality randomness in some annuities, Consistent fitting of one-factor models to interest rate data., Present value of some insurance portfolios

Cites Work

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• Non-uniqueness of option prices
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• On the Fisher-Weil immunization theorem
• A Theory of the Term Structure of Interest Rates
• Itô’s Calculus in Financial Decision Making
• A mathematical model of pricing in a large system of cash bonds
• An equilibrium characterization of the term structure
• On Deviations between Theoretical and Empirical Distributions
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• Handbook of stochastic methods for physics, chemistry and natural sciences.
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