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)

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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 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
• 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
• On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility
• Machine Learning Vasicek Model Calibration with Gaussian Processes
• Pricing the credit default swap rate for jump diffusion default intensity processes
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
• A direct LU solver for pricing American bond options under Hull-White model
• A fast calibrating volatility model for option pricing
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Complex logarithms in Heston-like models
• Interest rate term structure modelling
• Computing survival probabilities based on stochastic differential models
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• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
• Interest rate models: an introduction
• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
• Randomised mixture models for pricing kernels
• Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes
• Modern LIBOR market models: using different curves for projecting rates and for discounting
• The impact of quantitative easing on the US term structure of interest rates
• Explicit density approximations for local volatility models using heat kernel expansions
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model
• Best estimate calculations of savings contracts by closed formulas: application to the ORSA
• A Unified View of LIBOR Models
• Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
• A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
• Cash management using multi-stage stochastic programming
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• Dynamic asset allocation under VaR constraint with stochastic interest rates
• Parametric Estimation of Ordinary Differential Equations With Orthogonality Conditions
• Chapman-Kolmogorov lattice method for derivatives pricing
• Intensity-based framework for surrender modeling in life insurance
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
• Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
• A majorization algorithm for constrained correlation matrix approximation
• The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
• 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

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