scholarly journals Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models

2018 ◽  
Vol 16 (1-2) ◽  
pp. 217-248 ◽  
Author(s):  
Ludovic Goudenege ◽  
Andrea Molent ◽  
Antonino Zanette
Keyword(s):  
Interest Rate ◽  
Stochastic Interest Rate ◽  
Interest Rate Models ◽  
Stochastic Interest ◽  
Black Scholes

Stochastic interest rate models

2018 ◽  
pp. 195-208
Author(s):  
Erik Lindström ◽  
Henrik Madsen ◽  
Jan Nygaard Nielsen
Keyword(s):  
Interest Rate ◽  
Stochastic Interest Rate ◽  
Interest Rate Models ◽  
Stochastic Interest

Value-at-Risk estimation with stochastic interest rate models for option-bond portfolios

2017 ◽  
Vol 21 ◽  
pp. 10-20 ◽  
Author(s):  
Xiaoyu Wang ◽  
Dejun Xie ◽  
Jingjing Jiang ◽  
Xiaoxia Wu ◽  
Jia He
Keyword(s):  
At Risk ◽  
Interest Rate ◽  
Value At Risk ◽  
Risk Estimation ◽  
Stochastic Interest Rate ◽  
Interest Rate Models ◽  
Stochastic Interest ◽  
Bond Portfolios

scholarly journals Long-Term Returns in Stochastic Interest Rate Models: Applications

2000 ◽  
Vol 30 (1) ◽  
pp. 123-140 ◽  
Author(s):  
Griselda Deelstra
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Stochastic Interest Rate ◽  
Interest Rate Models ◽  
Monetary Policies ◽  
Brownian Motion With Drift ◽  
Convergence Results ◽  
Stochastic Interest ◽  
Explicit Formulae

AbstractWe extend the Cox-Ingersoll-Ross (1985) model of the short interest rate by assuming a stochastic reversion level, which better reflects the time dependence caused by the cyclical nature of the economy or by expectations concerning the future impact of monetary policies. In this framework, we have studied the convergence of the long-term return by using the theory of generalised Bessel-square processes. We emphasize the applications of the convergence results. A limit theorem proves evidence of the use of a Brownian motion with drift instead of the integral . For practice, however, this approximation turns out to be only appropriate when there are no explicit formulae and calculations are very time-consuming.

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