The valuation of catastrophe bonds with exposure to currency exchange risk
Van Son Lai; Mathieu Parcollet; Bernard F. Lamond
| Year of publication: |
2014
|
|---|---|
| Authors: | Lai, Van Son ; Parcollet, Mathieu ; Lamond, Bernard F. |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 33.2014, p. 243-252
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| Subject: | CAT bond valuation | Catastrophic and currency exchange risk | Jump-diffusion process | 3D Brownian motion | Importance sampling | Brownian bridge | Stochastischer Prozess | Stochastic process | Risikomodell | Risk model | Katastrophe | Disaster | Währungsrisiko | Exchange rate risk | Anleihe | Bond | Risiko | Risk | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | CAPM | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010520456