A joint stock and bond market based on the hyperbolic Gaussian model

DOI10.1007/S13385-012-0060-6MaRDI QIDQ362053zbMATH OpenOpenAlexFDO

Authors Nicole Bäuerle, Robin Pfeiffer

Publication date 20 August 2013

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

Full work available at URL https://publikationen.bibliothek.kit.edu/1000032858/3270670

zbMATH Keywords

Kalman filterMonte Carlo simulationinterest rate modelsdividend discount approachhyperbolic Gaussian modelpotential approach

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A note on the Flesaker-Hughston model of the term structure of interest rates
• Interest rate models -- theory and practice
• Martingale methods in financial modelling.
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• Term structure modeling and asymptotic long rate
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

Cited in

(3)

• Pricing stock and bond derivatives with a multi-factor Gaussian model
• The potential approach in practice
• Modelling the Uruguayan debt through Gaussians models

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