Valuing catastrophe bonds involving correlation and CIR interest rate model

DOI10.1007/s40314-016-0348-2zbMath1409.91247WikidataQ59472414 ScholiaQ59472414MaRDI QIDQ1655383

Y. Aharonov

Publication date: 9 August 2018

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-016-0348-2

zbMATH Keywords

asset pricing; Monte Carlo simulations; stochastic models; CIR model; catastrophe bonds

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

91-04: Software, source code, etc. for problems pertaining to game theory, economics, and finance