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

DOI10.1007/S13385-012-0060-6zbMATH Open1273.91448OpenAlexW2086220972MaRDI QIDQ362053FDOQ362053

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

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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)

Cites Work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Title not available (Why is that?)
• Martingale methods in financial modelling.
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• Interest rate models -- theory and practice
• Term structure modeling and asymptotic long rate
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• A note on the Flesaker-Hughston model of the term structure of interest rates
• A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING

Cited In (3)

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

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