Interest rate models -- theory and practice. With smile, inflation and credit
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Publication:855091
zbMATH Open1109.91023MaRDI QIDQ855091FDOQ855091
Publication date: 29 December 2006
Published in: Springer Finance (Search for Journal in Brave)
Recommendations
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
- 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
- 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
- Interest rate term structure modelling
- Computing survival probabilities based on stochastic differential models
- Interest rate models -- theory and practice
- A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
- 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
- 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
- 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
- High order discretization schemes for the CIR process: Application to affine term structure and Heston models
- 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
- COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
- On the singular limit of solutions to the CIR interest rate model with stochastic volatility
- 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
- COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
- MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING
- 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
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