Interest rate models -- theory and practice. With smile, inflation and credit
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- On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation
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- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
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- Extension of stochastic volatility equity models with the Hull-White interest rate process
- Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Enhancing credit default swap valuation with meshfree methods
- Interest rate modeling. Theory and practice
- Parametric estimation of ordinary differential equations with orthogonality conditions
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
- A versatile approach for stochastic correlation using hyperbolic functions
- Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes
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- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Asymptotic expansion for some local volatility models arising in finance
- Chapman-Kolmogorov lattice method for derivatives pricing
- Portfolio optimization under convex incentive schemes
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- A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- Cash management using multi-stage stochastic programming
- Closed-form solutions for guaranteed minimum accumulation and death benefits
- Dynamic asset allocation under VaR constraint with stochastic interest rates
- Affine LIBOR models with multiple curves: theory, examples and calibration
- The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
- Interest rate term structure modelling
- Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
- A direct LU solver for pricing American bond options under Hull-White model
- Machine learning Vasicek model calibration with Gaussian processes
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- A fast calibrating volatility model for option pricing
- Analytical formulas for a local volatility model with stochastic rates
- Analytical approximations for prices of swap rate dependent embedded options in insurance products
- Pricing VXX option with default risk and positive volatility skew
- A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
- A tractable LIBOR model with default risk
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- Pricing and hedging Asian basket spread options
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Intensity-based framework for surrender modeling in life insurance
- Best estimate calculations of savings contracts by closed formulas: application to the ORSA
- Explicit density approximations for local volatility models using heat kernel expansions
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Interest rate models: an introduction
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- Impulse control of pension fund contributions, in a regime switching economy
- A cyclical square-root model for the term structure of interest rates
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
- The impact of quantitative easing on the US term structure of interest rates
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Long-term behavior of stochastic interest rate models with jumps and memory
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
- An explicit solution for optimal investment in Heston model
- Polynomial chaos expansion approach to interest rate models
- On short-term loan interest rate models: a first passage time approach
- Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method
- On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices
- Valuation of caps and swaptions under a stochastic string model
- A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
- Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- A Random-Supply Mean Field Game Price Model
- Speed-up credit exposure calculations for pricing and risk management
- Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
- Moment approximations of displaced forward-LIBOR rates with application to swaptions
- THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
- Multi-currency credit default swaps
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- A semi-analytical pricing formula for European options under the rough Heston-CIR model
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- Model of neo-Malthusian population anticipating future changes in resources
- Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
- Calibration of one-factor and two-factor hull-white models using swaptions
- On the distribution of extended CIR model
- Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
- The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
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