Valuing catastrophe bonds by Monte Carlo simulations
From MaRDI portal
Publication:4449554
DOI10.1080/1350486032000079741zbMATH Open1060.91088OpenAlexW2043732557MaRDI QIDQ4449554FDOQ4449554
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
Recommendations
Cites Work
- Title not available (Why is that?)
- An equilibrium characterization of the term structure
- Option pricing when underlying stock returns are discontinuous
- On modelling and pricing weather derivatives
- Monte Carlo methods for security pricing
- Asset Prices in an Exchange Economy
- Weather Forecasting for Weather Derivatives
- Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk
Cited In (15)
- The diffusion of complex securities: the case of CAT bonds
- Valuing catastrophe bonds involving credit risks
- Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
- Sensitivity analysis of catastrophe bond price under the Hull-White interest rate model
- The optimal write-down coefficients in a percentage for a catastrophe bond
- Pricing catastrophe risk bonds: a mixed approximation method
- Valuing clustering in catastrophe derivatives
- FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES
- Valuing catastrophe bonds involving correlation and CIR interest rate model
- Title not available (Why is that?)
- Pricing and simulations of catastrophe bonds
- Model-independent price bounds for catastrophic mortality bonds
- Pricing catastrophe swaps: a contingent claims approach
- Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data
- Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
This page was built for publication: Valuing catastrophe bonds by Monte Carlo simulations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4449554)
