A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING

DOI10.1111/j.0960-1627.2004.00198.xzbMath1134.60355OpenAlexW3125567218MaRDI QIDQ4673850

Andrew J. G. Cairns

Publication date: 9 May 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00198.x

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integrals (60H05)

Related Items (5)

A positive interest rate model with sticky barrier ⋮ A joint stock and bond market based on the hyperbolic Gaussian model ⋮ SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST ⋮ The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design ⋮ Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk

Cites Work

• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• A note on the Flesaker-Hughston model of the term structure of interest rates
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• A discussion of parameter and model uncertainty in insurance
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