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

zbMATH Open1109.91023MaRDI QIDQ855091FDOQ855091

Fabio Mercurio, Damiano Brigo

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
• 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
• Transition Density and Simulated Likelihood Estimation for Time-Inhomogeneous Diffusions
• 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
• The probability distribution of returns in the exponential Ornstein–Uhlenbeck model
• Alternative to beta coefficients in the context of diffusions
• Market-Consistent Valuation and Funding of Cash Balance Pensions
• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices
• Mortality surface by means of continuous time cohort models
• ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
• VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO
• Fast and accurate pricing and hedging of long-dated CMS spread options
• Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
• The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension
• Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
• 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
• Stochastic Control and Pricing Under Swap Measures
• Approximate arbitrage-free option pricing under the SABR 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
• Modelling the Uruguayan Debt Through Gaussians Models
• Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
• Eurodollar futures pricing in log-normal interest rate models in discrete time
• Choquet-based European option pricing with stochastic (and fixed) strikes
• Phase transition in a log-normal Markov functional model
• Parametric estimation for discretely observed stochastic processes with jumps
• The Markov-switching jump diffusion LIBOR market model
• AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS
• Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
• Closed-form Arrow-Debreu pricing for the Hull-White short rate model
• Hedging of guaranteed maturity benefits in unit-linked life insurance
• A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate
• An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

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)