scientific article; zbMATH DE number 5283397

zbMATH Open1150.91390MaRDI QIDQ3500544FDOQ3500544

Wangui Sun

Publication date: 3 June 2008

Title of this publication is not available (Why is that?)

Recommendations

• Contingent claim valuation in a market with different interest rates
• Counterparty risk pricing under correlation between default and interest rates
• Valuation of contingent claims with mortality and interest rate risks
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Indifference pricing of defaultable claims
• Pricing claims under GARCH-level dependent interest rate processes
• The risk model under rates of interest
• Hazard rate for credit risk and hedging defaultable contingent claims
• Interest rate dynamics, derivatives pricing, and risk management

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)

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
• Title not available (Why is that?)

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