The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration

DOI10.1007/S13385-021-00260-7zbMath1480.91186arXiv2006.08004OpenAlexW3127444383MaRDI QIDQ2066792

Christoph Berninger, Julian Pfeiffer

Publication date: 14 January 2022

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.08004

zbMATH Keywords

change of measure2-factor hull-white modelGauss2++ modelrisk neutral and real worldtime-varying market price of risk

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Related Items (1)

A multi-curve HJM factor model for pricing and risk management

Cites Work

• Forecasting the term structure of government bond yields
• Interest rate models -- theory and practice. With smile, inflation and credit
• Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• An Intertemporal General Equilibrium Model of Asset Prices
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• A Simplex Method for Function Minimization

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