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Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
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Risk management of variable annuities
Ruez, Frederik - 2017
Persistent link: https://www.econbiz.de/10012659889
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Do Chinese retail option traders know anything about market volatility?
Liu, Ming-hua; Rangan, Nanda K. - In: Frontiers of business research in China : selected … 6 (2012) 4, pp. 508-526
Persistent link: https://www.econbiz.de/10009688736
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Pricing of bond options : unspanned stochastic volatility and random field models
Repplinger, Detlef - 2008
Persistent link: https://www.econbiz.de/10013278100
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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 2008
A major theme of this book is the development of a consistent unified model framework for the evaluation of bond … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a … deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by …
Persistent link: https://www.econbiz.de/10013521005
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Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
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Pricing variable annuity guarantees in a local volatility framework
Deelstra, Griselda; Rayée, Grégory - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 650-663
Persistent link: https://www.econbiz.de/10010227910
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Pricing Ruin Contingent Life Annuity Under Stochastic Volatility
Rong, Ning - 2012
Purpose of this paper: In this paper we consider the dynamics of the risky portfolio follows jump diffusion process, and the Ruin contingent life annuity (RCLA) contract under the Heston stochastic volatility framework is priced. By comparison to the literatures, we aim to illustrate that, by...
Persistent link: https://www.econbiz.de/10013102843
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Pricing Variable Annuity Guarantees in a Local Volatility Framework
Rayée, Grégory - 2012
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian...
Persistent link: https://www.econbiz.de/10013108124
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Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities
Benhamou, Eric - 2009
With the success of variable annuities, insurance companies are piling up large risks in terms of both equity and fixed income assets. These risks should be properly modeled as the resulting dynamic hedging strategy is very sensitive to the modeling assumptions. The current literature has been...
Persistent link: https://www.econbiz.de/10013155840