Search Results - subject:"Forward measure"

Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes

Chen, Jun-Home; Lian, Yu-Min; Liao, Szu-Lang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013449359

An arithmetic pure-jump multi-curve interest rate model

Hess, Markus - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-30

Persistent link: https://www.econbiz.de/10012183228

Long-term factorization in Heath-Jarrow-Morton models

Qin, Likuan; Linetsky, Vadim - In: Finance and stochastics 22 (2018) 3, pp. 621-641

Persistent link: https://www.econbiz.de/10011945879

The call option pricing based on investment strategy with stochastic interest rate

Zhang, Xin; Shu, Huisheng; Kan, Xiu; Fang, Yingyi; … - In: Journal of mathematical finance 8 (2018) 1, pp. 43-57

Persistent link: https://www.econbiz.de/10011846108

Long-term risk : a martingale approach

Qin, Likuan; Linetsky, Vadim - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 299-312

Persistent link: https://www.econbiz.de/10011738495

Long-term factorization of affine pricing kernels

Qin, Likuan; Linetsky, Vadim - In: Mathematics and financial economics 11 (2017) 4, pp. 479-498

Persistent link: https://www.econbiz.de/10011900582

An Efficient Lattice Algorithm for the LIBOR Market Model

Xiao, Tim - In: Journal of Derivatives 19 (2011) 1, pp. 25-40

forward measure and several novel fast drift approximation methods. This model should achieve the best performance without …

Persistent link: https://www.econbiz.de/10012022036

An efficient lattice algorithm for the libor market model

Tim, Xiao - Volkswirtschaftliche Fakultät, … - 2011

forward measure and several novel fast drift approximation methods. This model should achieve the best performance without …

Persistent link: https://www.econbiz.de/10009277289

No arbitrage theory for bond markets

Klein, Irene; Schmidt, Thorsten; Teichmann, Josef - In: Advanced modelling in mathematical finance : in honour …, (pp. 381-421). 2016

Persistent link: https://www.econbiz.de/10011800388

On Markov-modulated Exponential-affine Bond Price Formulae

Elliott, Robert; Siu, Tak Kuen - In: Applied Mathematical Finance 16 (2009) 1, pp. 1-15

We consider the bond valuation problem when the short rate process is described by a Markovian regime-switching Hull-White model or a Markovian regime-switching Cox-Ingersoll-Ross model. In each of the two short rate models, we establish a Markov-modulated exponential-affine bond price formula...

Persistent link: https://www.econbiz.de/10005462489