Interest rate risk premium and equity valuation

DOI10.1007/S11424-010-0142-YMaRDI QIDQ601065zbMATH OpenOpenAlexFDO

Authors Zhuang Kang, Srdjan D. Stojanovic

Publication date 3 November 2010

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-010-0142-y

zbMATH Keywords

incomplete marketsrisk premiumequity valuationinterest rate riskneutral pricing

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• An equilibrium characterization of the term structure
• Interest rate models -- theory and practice
• Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems
• Reducing parabolic partial differential equations to canonical form
• Risk premium and fair option prices under stochastic volatility: the HARA solution.

Cited in

(3)

• Equity valuation
• Banks' interest rate risk: the net interest income perspective versus the market value perspective
• Interest rates risk-premium and shape of the yield curve

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