Interest rate models -- theory and practice. With smile, inflation and credit

zbMATH Open1109.91023MaRDI QIDQ855091FDOQ855091

Authors: Damiano Brigo, Fabio Mercurio 

Publication date: 29 December 2006

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

Recommendations

• Interest rate modeling. Theory and practice.
• Interest rate models -- theory and practice
• Interest rate models: an introduction
• An elementary introduction to stochastic interest rate modeling.
• Interest rate modeling. Theory and practice

zbMATH Keywords

creditvolatility smileinflationshort rate modelsmarket modelsintensity modelsno-arbitrage pricing

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (only showing first 100 items - show all)

• A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
• SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST
• ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
• Calibration of one-factor and two-factor hull-white models using swaptions
• On the distribution of extended CIR model
• INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES
• 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
• Optimising dividends and consumption under an exponential CIR as a discount factor
• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
• A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision
• Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk
• PRIIP-KID: appearances are deceiving or why to expect the unexpected in a generic KID for multiple option products
• Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
• 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
• Generalized $T^p_u$ spaces: On the trail of Calderón and Zygmund
• On the consistency of Sobol indices with respect to stochastic ordering of model parameters
• Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
• MULTI-CURRENCY CREDIT DEFAULT SWAPS
• Generalized uncorrelated SABR models with a high degree of symmetry
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
• A Random-Supply Mean Field Game Price Model
• ANALYTIC PRICING OF CoCo BONDS
• Model order reduction for the simulation of parametric interest rate models in financial risk analysis
• 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
• Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
• EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL
• THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
• CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK
• A least-squares Monte Carlo approach to the estimation of enterprise risk
• Error analysis of a model order reduction framework for financial risk analysis
• Pricing of range accrual swap in the quantum finance Libor market model
• Analytical representations for the basic affine jump diffusion
• ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM
• Pricing Options with Hybrid Stochastic Volatility Models
• Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
• Mixed-asset portfolio allocation under mean-reverting asset returns
• Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach
• A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
• Multilayer heat equations: application to finance
• Model of neo-Malthusian population anticipating future changes in resources
• AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
• COHERENT FOREIGN EXCHANGE MARKET MODELS
• MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS
• A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices
• Measuring profitability of life insurance products under Solvency II
• Multi-year analysis of solvency capital in life insurance
• The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
• On short-term loan interest rate models: a first passage time approach
• Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
• THE MULTI-CURVE POTENTIAL MODEL
• Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
• PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE
• Discussion on: ``Yield curve shapes of Vasiçek interest rate models, measure transformations and an application for the simulation of pension products
• A consistent stochastic model of the term structure of interest rates for multiple tenors
• WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS
• The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
• Symmetries of stochastic differential equations using Girsanov transformations
• Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model
• Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
• A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
• 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
• A versatile approach for stochastic correlation using hyperbolic functions
• A heat kernel approach to interest rate models
• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
• Asymptotic expansion for some local volatility models arising in finance
• Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
• Analytical formulas for a local volatility model with stochastic rates
• Enhancing credit default swap valuation with meshfree methods
• Pricing inflation products with stochastic volatility and stochastic interest rates
• The hexanomial lattice for pricing multi-asset options
• Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
• An Explicit Solution for Optimal Investment in Heston Model
• Calibrating affine stochastic mortality models using term assurance premiums
• Pricing and hedging Asian basket spread options
• Polynomial chaos expansion approach to interest rate models
• On the Marshall–Olkin extended distributions
• Analytical approximations for prices of swap rate dependent embedded options in insurance products
• Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit
• Long-term behavior of stochastic interest rate models with jumps and memory
• SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
• Affine term structure models: A time‐change approach with perfect fit to market curves
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
• Portfolio optimization under convex incentive schemes
• On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation
• A tractable LIBOR model with default risk
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Option pricing under joint dynamics of interest rates, dividends, and stock prices
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• Impulse control of pension fund contributions, in a regime switching economy
• A cyclical square-root model for the term structure of interest rates
• A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
• Closed-form solutions for guaranteed minimum accumulation and death benefits
• Pricing VXX option with default risk and positive volatility skew
• Extension of stochastic volatility equity models with the Hull–White interest rate process

This page was built for publication: Interest rate models -- theory and practice. With smile, inflation and credit

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q855091)