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Essays on empirical term structure modeling

Zhao, Feng - 2004

Persistent link: https://www.econbiz.de/10003387673

A generalization of the formulas for options on the maximum or the minimum of several assets

Lindset, Snorre - In: The European journal of finance 12 (2006) 8, pp. 717-730

Persistent link: https://www.econbiz.de/10003396191

Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

Li, Danping; Rong, Ximin; Zhao, Hui - In: Insurance / Mathematics & economics 64 (2015), pp. 28-44

Persistent link: https://www.econbiz.de/10011396861

Asset allocation under stochastic interest rate with regime switching

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136

Persistent link: https://www.econbiz.de/10009667429

Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates

Ng, Leslie - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-33

Persistent link: https://www.econbiz.de/10010243617

Gaussian and affine approximation of stochastic diffusion models for interest and mortality rates

Christiansen, Marcus C. - In: Risks : open access journal 1 (2013) 3, pp. 81-100

In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic...

Persistent link: https://www.econbiz.de/10010199021