Exponential change of measure applied to term structures of interest rates and exchange rates
DOI10.1016/J.INSMATHECO.2011.04.004zbMATH Open1218.91159OpenAlexW2166839997MaRDI QIDQ634008FDOQ634008
Authors: Lijun Bo 
Publication date: 2 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.04.004
Recommendations
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
- Changes of numéraire, changes of probability measure and option pricing
- Pricing currency derivatives with Markov-modulated Lévy dynamics
- Moment generating function approach to pricing interest rate and foreign exchange rate claims.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Laplace transform (44A10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- A theory of the term structure of interest rates
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
- Applied Probability and Queues
- Title not available (Why is that?)
- A technique for exponential change of measure for Markov processes
- Title not available (Why is that?)
- Option pricing and Esscher transform under regime switching
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- On Esscher Transforms in Discrete Finance Models
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
- Markov-modulated jump-diffusions for currency option pricing
- Option Pricing With Markov-Modulated Dynamics
- Equity-linked life insurance: A model with stochastic interest rates
- Moment generating function approach to pricing interest rate and foreign exchange rate claims.
- Actuarial bridges to dynamic hedging and option pricing
- Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
Cited In (4)
- Exponential change of measure for general piecewise deterministic Markov processes
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching
- Base change and the Fredholm index
This page was built for publication: Exponential change of measure applied to term structures of interest rates and exchange rates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q634008)
