Tenor specific pricing

DOI10.1142/S0219024912500434zbMATH1262.91142OpenAlexW3124948743MaRDI QIDQ4649506FDOQ4649506

Authors Dilip B. Madan, Wim Schoutens

Publication date 22 November 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024912500434

zbMATH Keywords

nonlinear expectationsacceptable risksdistorted expectationsCIR spot rate model

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Liquidity risk and the term structure of interest rates
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Cites work

• scientific article; zbMATH DE number 1066313 (Why is no real title available?)
• A multi-quality model of interest rates
• A theory of the term structure of interest rates
• Coherent measures of risk
• Coherent risk measures and good-deal bounds
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Risk measures via \(g\)-expectations

Cited in

(11)

• Measuring and monitoring the efficiency of markets
• Asset pricing theory for two price economies
• From credit valuation adjustments to credit capital commitments
• Optimal trade execution and price manipulation in order books with time-varying liquidity
• CONIC TRADING IN A MARKOVIAN STEADY STATE
• Conic portfolio theory
• Two price economies in continuous time
• Benchmarking in two price financial markets
• Dynamic conic hedging for competitiveness
• Nonlinear equity valuation using conic finance and its regulatory implications
• Bid and ask prices as non-linear continuous time G-expectations based on distortions

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