Interest rate models -- theory and practice. With smile, inflation and credit
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(only showing first 100 items - show all)- Valuing early-exercise interest-rate options with multi-factor affine models
- Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
- A semi-analytical pricing formula for European options under the rough Heston-CIR model
- Fast calibration of the libor market model with stochastic volatility and displaced diffusion
- A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond
- Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
- A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
- A closed-form pricing formula for variance swaps under MRG-Vasicek model
- A versatile approach for stochastic correlation using hyperbolic functions
- ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
- A heat kernel approach to interest rate models
- A unified market model for swaptions and constant maturity swaps
- Calibration of one-factor and two-factor hull-white models using swaptions
- On the distribution of extended CIR model
- On One Approach to Mathematical Modeling of Socio-EconomicDevelopment of Regions
- Alternative to beta coefficients in the context of diffusions
- Numerical stability of a hybrid method for pricing options
- How to handle negative interest rates in a CIR framework
- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Optimising dividends and consumption under an exponential CIR as a discount factor
- On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
- An elementary introduction to stochastic interest rate modeling.
- Guarantee valuation in notional defined contribution pension systems
- Stochastic actuarial valuations in double-indexed pension annuity assessment
- Asymptotic expansion for some local volatility models arising in finance
- Analytical formulas for a local volatility model with stochastic rates
- A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision
- Enhancing credit default swap valuation with meshfree methods
- Bayesian inference for long memory term structure models
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- A structural heath-Jarrow-Morton framework for consistent intraday spot and futures electricity prices
- PRIIP-KID: appearances are deceiving or why to expect the unexpected in a generic KID for multiple option products
- Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
- The hexanomial lattice for pricing multi-asset options
- A mean-field extension of the LIBOR market model
- A sparse grid approach to balance sheet risk measurement
- Old and new approaches to LIBOR modeling
- A market-consistent framework for the fair evaluation of insurance contracts under Solvency II
- Generalized Sν$S^\nu$ spaces
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
- Genetic algorithm-based selection of optimal Monte Carlo simulations
- Pricing inflation products with stochastic volatility and stochastic interest rates
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- Mortality surface by means of continuous time cohort models
- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
- Pricing and hedging Asian basket spread options
- Calibrating affine stochastic mortality models using term assurance premiums
- Rational multi-curve models with counterparty-risk valuation adjustments
- Speed-up credit exposure calculations for pricing and risk management
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
- Interest rate modeling: post-crisis challenges and approaches
- ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
- PRICING OF TRAFFIC LIGHT OPTIONS AND OTHER HYBRID PRODUCTS
- Polynomial chaos expansion approach to interest rate models
- Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
- Fast and accurate pricing and hedging of long-dated CMS spread options
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
- Analytical approximations for prices of swap rate dependent embedded options in insurance products
- Risk-neutral valuation of GLWB riders in variable annuities
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
- Multi-curve modelling using trees
- Long-term behavior of stochastic interest rate models with jumps and memory
- Rational models for inflation-linked derivatives
- On the consistency of Sobol indices with respect to stochastic ordering of model parameters
- Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models
- Convexity adjustment for constant maturity swaps in a multi-curve framework
- Option pricing under jump diffusion model
- Pathwise dynamic programming
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Mean-field Libor market model and valuation of long term guarantees
- Introduction to `The new interest rate models. Recent developments in the theory and application of yield curve dynamics'.
- Parametric estimation of ordinary differential equations with orthogonality conditions
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate
- A subordinated CIR intensity model with application to wrong-way risk CVA
- Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Modeling financial leasing by optimal stopping approach
- Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates
- Sensitivity Ranks by Monte Carlo
- Portfolio optimization under convex incentive schemes
- Vanna-Volga methods applied to FX derivatives: from theory to market practice
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION
- Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
- On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation
- Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
- Approximate arbitrage-free option pricing under the SABR model
- Introducing and testing the Carr model of default
- On the Marshall-Olkin extended distributions
- Interest rate convexity in a Gaussian framework
- A tractable LIBOR model with default risk
- An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
- Equity-linked life insurance based on traditional products: the case of select products
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