Pricing range notes within Wishart affine models

DOI10.1016/J.INSMATHECO.2014.07.008MaRDI QIDQ2513635zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 52588 (Why is no real title available?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A flexible matrix Libor model with smiles
• A multifactor volatility Heston model
• Affine processes on positive semidefinite matrices
• Affine stochastic mortality
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• Derivative pricing with Wishart multivariate stochastic volatility
• Discrete time Wishart term structure models
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
• Hedging (co)variance risk with variance swaps
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• MultiFactor Valuation of Floating Range Notes
• Optimal investment strategies in the presence of a minimum guarantee.
• Option pricing when correlations are stochastic: an analytical framework
• Positive-definite matrix processes of finite variation
• Pricing inflation products with stochastic volatility and stochastic interest rates
• Pricing inflation-linked variable annuities under stochastic interest rates
• Riding on the smiles
• SOLVABLE AFFINE TERM STRUCTURE MODELS
• The Wishart autoregressive process of multivariate stochastic volatility
• The Wishart short rate model
• The design of equity-indexed annuities
• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
• Wishart processes

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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