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A Bayesian pricing of longevity derivatives with interest rate risks
Kogure, Atsuyuki; Fushimi, Takahiro - In: Asia-Pacific journal of risk and insurance : APJRI 12 (2018) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10011813899
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Evaluating the credit exposure of interest rate derivatives under the real-world measure
Yasuoka, Takashi - In: The journal of risk model validation 12 (2018) 4, pp. 69-95
Persistent link: https://www.econbiz.de/10011992271
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Die Bewertung von Zinsoptionen
Walter, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000560789
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Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds
Sommer, Daniel - 1996
Persistent link: https://www.econbiz.de/10000614512
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Mathematics of financial markets
Elliott, Robert J.; Kopp, Peter E. - 1999
Persistent link: https://www.econbiz.de/10000663279
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It's your choice : a unified approach to chooser options
Sandmann, Klaus; Wittke, Manuel - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 139-161
Persistent link: https://www.econbiz.de/10008860419
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Properties of the chooser flexible cap
Ohnishi, Masamitsu; Tamba, Yasuhiro - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 86-102
Persistent link: https://www.econbiz.de/10003611520
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Pricing and hedging guaranteed annuity options via static option replication
Pelsser, Antoon André Jean - 2002 - This version: 12-Mar-2002 13:27
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...
Persistent link: https://www.econbiz.de/10011326973
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Valuation of finance/insurance contracts : efficient hedging and stochastic interest rates modeling
Melnikov, Alexander; Tong, Shuo - In: Risk and decision analysis 5 (2014) 1, pp. 23-41
Persistent link: https://www.econbiz.de/10010492598
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Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy
Gao, Quansheng; He, Ting; Zhang, Chi - In: Economic modelling 28 (2011) 1/2, pp. 147-156
Persistent link: https://www.econbiz.de/10009270040