Valuation of cash flows under random rates of interest: a linear algebraic approach

DOI10.1016/J.INSMATHECO.2006.10.001MaRDI QIDQ997086zbMATH OpenOpenAlexFDO

Authors P. Date, Rogemar Mamon, I-Chieh Wang

Publication date 19 July 2007

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2006.10.001

zbMATH Keywords

linear systemsstochastic interest rate modelsuniformly convergent approximation

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

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• A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Annuities under random rates of interest
• Annuities under random rates of interest -- revisited.
• Credit risk: Modelling, valuation and hedging
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing interest-rate-derivative securities
• Probability and random processes.
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Cited in

(11)

• An axiomatic approach to the valuation of cash flows
• scientific article; zbMATH DE number 1741798 (Why is no real title available?)
• A note on a simplified approach to the valuation of risky streams
• Stochastic approximations of present value functions
• Martingale Valuation of Cash Flows for Insurance and Interest Models
• An efficient approach for calculating default probabilities for cash-flow based project finance with reserve account
• Pricing and risk management of interest rate swaps
• A linear algebraic method for pricing temporary life annuities and insurance policies
• Interest rate modeling without probabilities
• Sensitivity analysis of long-term cash flows
• The value of a liability cash flow in discrete time subject to capital requirements

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