A Simple Stochastic Rate Model for Rate Equity Hybrid Products
DOI10.1080/1350486X.2013.770240zbMATH Open1396.91780OpenAlexW3125279461MaRDI QIDQ4584998FDOQ4584998
Authors: Ernst Eberlein, Dilip B. Madan, Martijn R. Pistorius, Marc Yor 
Publication date: 5 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2013.770240
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Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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- Dirichlet mean identities and laws of a class of subordinators
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- The Lévy LIBOR model
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- Changes of numéraire, changes of probability measure and option pricing
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- Some new results for Dirichlet priors.
- The generalized Stieltjes transform and its inverse
- Quasi-invariance of the gamma process and multiplicative properties of the Poisson-Dirichlet measures
Cited In (7)
- Efficient simulation of Lévy-driven point processes
- Financial product pricing of triggered interest rate hook type under the stochastic interest rate model
- Hybrid Lévy models: design and computational aspects
- Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
- Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
- Pricing American options by a Fourier transform multinomial tree in a conic market
- A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS
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