Search Results - subject:"Hull & White model"

Pricing pandemic bonds under hull-white & stochastic logistic growth model

Manathunga, Vajira; Deng, Linmiao - In: Risks : open access journal 11 (2023) 9, pp. 1-28

Pandemic bonds can be used as an effective tool to mitigate the economic losses that governments face during pandemics and transfer them to the global capital market. Once considered as an "uninsurable" event, pandemic bonds caught the attention of the world with the issuance of pandemic bonds...

Persistent link: https://www.econbiz.de/10014370558

The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration

Berninger, Christoph; Pfeiffer, Julian - In: European Actuarial Journal 11 (2021) 2, pp. 677-705

)—in a different representation also known as the 2-Factor Hull-White model. In this paper, we propose a framework to …

Persistent link: https://www.econbiz.de/10014501762

Emulating the Standard Initial Margin Model : initial margin forecasting with a stochastic cross-currency basis

Puetter, Christoph M.; Renzitti, Stefano - In: The journal of credit risk : published quarterly by … 19 (2023) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10014489002

Maximum likelihood estimation of the Hull-White model

Kladívko, Kamil; Rusý, Tomáš - In: Journal of empirical finance 70 (2023), pp. 227-247

Persistent link: https://www.econbiz.de/10014423686

Valuation of general GMWB annuities in a low interest rate environment

Fontana, Claudio; Rotondi, Francesco - In: Insurance / Mathematics & economics 112 (2023), pp. 142-167

Persistent link: https://www.econbiz.de/10014446751

Calibration of one-factor and two-factor Hull-White models using swaptions

Russo, Vincenzo; Torri, Gabriele - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 275-295

Persistent link: https://www.econbiz.de/10011993481

Expansion method for pricing foreign exchange options under stochastic volatility and interest rates

Nagami, Kenji - In: The journal of computational finance 25 (2021) 2, pp. 29-50

Persistent link: https://www.econbiz.de/10012938885

Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 57-72

Persistent link: https://www.econbiz.de/10012587815

Risk-based capital for variable annuity under stochastic interest rate

Wang, JinDong; Xu, Wei - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 959-999

Persistent link: https://www.econbiz.de/10012307392

Pricing options embedded in debentures with credit risk

Almeida, Caio; Pereira, Leonardo - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10011538968