The distribution of the present value of a series of cash flows under stochastic interest rates has been investigated by many researchers. One of the main problems in this context is the fact that the calculation of exact analytical results for this type of distributions turns out to be rather...

In Dhaene et al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach to find optimal constant mix investment strategies in a provisioning or a savings context. In this paper we extend some of these results, investigating some specific, real-life...

In this paper, we develop a recursive method to derive an exact numerical and nearly analytical representation of the Laplace transform of the transition density function with respect to the time variable for time-homogeneous diffusion processes. We further apply this recursion algorithm to the...