Valuing catastrophe bonds by Monte Carlo simulations

DOI10.1080/1350486032000079741MaRDI QIDQ4449554zbMATH OpenOpenAlexFDO

Authors Victor E. Vaugirard

Publication date 11 February 2004

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486032000079741

zbMATH Keywords

variance reductionmean-reverting processjump-diffusion processdigital options

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• An equilibrium characterization of the term structure
• Asset Prices in an Exchange Economy
• Monte Carlo methods for security pricing
• On modelling and pricing weather derivatives
• Option pricing when underlying stock returns are discontinuous
• Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk
• Weather Forecasting for Weather Derivatives

Cited in

(15)

• Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model
• FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES
• Pricing catastrophe risk bonds: a mixed approximation method
• Valuing clustering in catastrophe derivatives
• Valuing catastrophe bonds involving correlation and CIR interest rate model
• Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
• The optimal write-down coefficients in a percentage for a catastrophe bond
• Valuing catastrophe bonds involving credit risks
• scientific article; zbMATH DE number 2020182 (Why is no real title available?)
• Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
• Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data
• Pricing and simulations of catastrophe bonds
• Pricing catastrophe swaps: a contingent claims approach
• Model-independent price bounds for catastrophic mortality bonds
• The diffusion of complex securities: the case of CAT bonds

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