Pricing range notes within Wishart affine models

DOI10.1016/J.INSMATHECO.2014.07.008zbMATH Open1304.91214OpenAlexW3125795892MaRDI QIDQ2513635FDOQ2513635

Authors: Carl Chiarella, José Da Fonseca, Martino Grasselli 

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.07.008

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zbMATH Keywords

term structure modelsrange accrual notesWishart models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
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• Title not available (Why is that?)
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• A flexible matrix Libor model with smiles
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• Currency option pricing with Wishart process
• HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
• THE WISHART SHORT RATE MODEL
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
• Pricing inflation-linked variable annuities under stochastic interest rates
• Pricing inflation products with stochastic volatility and stochastic interest rates
• Affine stochastic mortality
• Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
• MultiFactor Valuation of Floating Range Notes

Cited In (8)

• MultiFactor Valuation of Floating Range Notes
• The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• Regime switching affine processes with applications to finance
• Pricing guaranteed annuity options in a linear-rational Wishart mortality model
• Explosion time for some Laplace transforms of the Wishart process
• Geometric ergodicity of affine processes on cones
• Valuing variable annuity guarantees on multiple assets

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