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Valuing variable annuity guarantees on multiple assets

Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078

Persistent link: https://www.econbiz.de/10014321664

Estimation of the local volatility of discount bonds using market quotes for coupon-bond options

Fujiwara, Hajime; Kijima, Masaaki; Nishide, Katsumasa - In: Recent advances in financial engineering : proceedings …, (pp. 49-69). 2009

Persistent link: https://www.econbiz.de/10003871160

Riding the swaption curve

Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75

Persistent link: https://www.econbiz.de/10011544291

Market implied volatilities for defaultable bonds

Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. - 2019

Persistent link: https://www.econbiz.de/10012008749

Options on bonds : implied volatilities from affine short-rate dynamics

Lorig, Matthew; Suaysom, Natchanon - In: Annals of finance 18 (2022) 2, pp. 183-216

Persistent link: https://www.econbiz.de/10013278980

Uncertainty about interest rates and crude oil prices

Qadan, Mahmoud; Cohen, Gil - In: Financial innovation : FIN 10 (2024), pp. 1-14

The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a proxy for uncertainty about future interest rates, is a...

Persistent link: https://www.econbiz.de/10014530189

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

Yield curve data choice and potential moral hazard : an empirical exercise on pricing callable bonds

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2124-2145

Persistent link: https://www.econbiz.de/10013184691

Optimal investment strategy for defined contribution pension scheme under the Heston volatility model

Okonkwo, Chidi U.; Osu, Bright O.; Ihedioha, Silas A.; … - In: Journal of mathematical finance 8 (2018) 4, pp. 613-622

Persistent link: https://www.econbiz.de/10012016220