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)

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• Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
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• Convexity adjustment for constant maturity swaps in a multi-curve framework
• 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
• BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
• Vanna-Volga methods applied to FX derivatives: from theory to market practice
• A spread-return mean-reverting model for credit spread dynamics
• Stochastic Control and Pricing Under Swap Measures
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Approximate arbitrage-free option pricing under the SABR model
• An affine two-factor heteroskedastic macro-finance term structure model
• Equity-linked life insurance based on traditional products: the case of select products
• On parallel asset-liability management in life insurance: a forward risk-neutral approach
• A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
• A dimension reduction Shannon-wavelet based method for option pricing
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• Valuation of basket credit default swaps under stochastic default intensity models
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• Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
• A scaled version of the double-mean-reverting model for VIX derivatives
• The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
• Valuation of contingent guarantees using least-squares Monte Carlo
• A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
• The LIBOR market model: a Markov-switching jump diffusion extension
• Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation
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• Modelling the Uruguayan debt through Gaussians models
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• An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
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• A linear algebraic method for pricing temporary life annuities and insurance policies
• The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
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• Projection Methods in Conic Optimization
• An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve
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• CVA with Wrong-Way Risk in the Presence of Early Exercise
• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
• Valuing early-exercise interest-rate options with multi-factor affine models
• Optimal prepayment and default rules for mortgage-backed securities
• A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond
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• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
• Asymptotic expansion for some local volatility models arising in finance
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• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• Impulse control of pension fund contributions, in a regime switching economy

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