scientific article; zbMATH DE number 5283397

MaRDI QIDQ3500544zbMATH OpenFDO

Authors Wangui Sun

Publication date 3 June 2008

zbMATH Keywords

incomplete marketpricinghedginginterest rate riskcontingent claim

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Indifference pricing of defaultable claims
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• Interest rate dynamics, derivatives pricing, and risk management

Cited in

(4)

• Term structure of discount rates for firms in the insurance industry
• Interest rate risk premium and equity valuation
• Valuation of contingent claims with mortality and interest rate risks
• scientific article; zbMATH DE number 5063689 (Why is no real title available?)

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