Bond and option pricing for interest rate model with clustering effects
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Publication:4554475
DOI10.1080/14697688.2017.1388534zbMATH Open1400.91626OpenAlexW2768338064MaRDI QIDQ4554475FDOQ4554475
Authors: Xin Zhang, Yang Shen, Jie Xiong 
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1388534
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Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
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Cited In (8)
- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Interest Rates Term Structure Models Driven by Hawkes Processes
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- Pricing of interest rate derivatives based on affine jump diffusion model
- A model for interest rates with clustering effects
- Mean-variance portfolio selection in contagious markets
- A BSDE approach for bond pricing under interest rate models with self-exciting jumps
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