A Simple Stochastic Rate Model for Rate Equity Hybrid Products

DOI10.1080/1350486X.2013.770240MaRDI QIDQ4584998zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

quantizationshort rateexponential Lévy modelslarge step simulationrate equity hybrid products

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(7)

• Financial product pricing of triggered interest rate hook type under the stochastic interest rate model
• Efficient simulation of Lévy-driven point processes
• 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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