Valuation of correlation options under a stochastic interest rate model with regime switching

Frontiers of Mathematics in China ◽

10.1007/s11464-017-0608-5 ◽

2017 ◽

Vol 12 (5) ◽

pp. 1113-1130 ◽

Author(s):

Kun Fan ◽

Rongming Wang

Keyword(s):

Interest Rate ◽

Regime Switching ◽

Stochastic Interest Rate ◽

Stochastic Interest ◽

Interest Rate Model

Download Full-text

An FFT approach for option pricing under a regime-switching stochastic interest rate model

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2015.1100740 ◽

2016 ◽

Vol 46 (11) ◽

pp. 5292-5310 ◽

Author(s):

Kun Fan ◽

Yang Shen ◽

Tak Kuen Siu ◽

Rongming Wang

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Regime Switching ◽

Stochastic Interest Rate ◽

Stochastic Interest ◽

Interest Rate Model

Download Full-text

Stock loan valuation under a stochastic interest rate model

Computers & Mathematics with Applications ◽

10.1016/j.camwa.2015.07.019 ◽

2015 ◽

Vol 70 (8) ◽

pp. 1757-1771 ◽

Author(s):

Wenting Chen ◽

Liangbin Xu ◽

Song-Ping Zhu

Keyword(s):

Interest Rate ◽

Stochastic Interest Rate ◽

Stochastic Interest ◽

Interest Rate Model ◽

Download Full-text

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

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2015.05.003 ◽

2015 ◽

Vol 64 ◽

pp. 28-44 ◽

Author(s):

Danping Li ◽

Ximin Rong ◽

Hui Zhao

Keyword(s):

Interest Rate ◽

Investment Strategy ◽

Stochastic Interest Rate ◽

Inflation Risk ◽

Stochastic Interest ◽

Interest Rate Model ◽

Download Full-text

Hybrid Equity-Interest Rate Model with Stochastic Interest Rate and Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.2434563 ◽

2014 ◽

Author(s):

Moez Mrad ◽

Racem Triki

Keyword(s):

Interest Rate ◽

Stochastic Interest Rate ◽

Stochastic Interest ◽

Interest Rate Model

Download Full-text

EVALUATION OF INTEREST RATE RISK OF A PORTFOLIO BY A STOCHASTIC INTEREST RATE MODEL WITH A RESIME SWITCHING PROPERTY AND ITS APPLICATION TO NON-MATURITY DEPOSITS

Transactions of the Operations Research Society of Japan ◽

10.15807/torsj.64.46 ◽

2021 ◽

Vol 64 (0) ◽

pp. 46-70

Author(s):

Yukio Muromachi

Keyword(s):

Interest Rate ◽

Interest Rate Risk ◽

Stochastic Interest Rate ◽

Rate Risk ◽

Stochastic Interest ◽

Switching Property ◽

Interest Rate Model

Download Full-text

The pricing of credit risky securities under stochastic interest rate model with default correlation

Applications of Mathematics ◽

10.1007/s10492-013-0036-0 ◽

2013 ◽

Vol 58 (6) ◽

pp. 703-727 ◽

Author(s):

Anjiao Wang ◽

Zhongxing Ye

Keyword(s):

Interest Rate ◽

Stochastic Interest Rate ◽

Default Correlation ◽

Stochastic Interest ◽

Interest Rate Model

Download Full-text

Fundamental solution of bond pricing in the Ho-Lee stochastic interest rate model under the invariant criteria

New Trends in Mathematical Science ◽

10.20852/ntmsci.2017.138 ◽

2017 ◽

Vol 1 (5) ◽

pp. 196-203 ◽

Author(s):

Burhaneddin Izgi ◽

Ahmet Bakkaloglu

Keyword(s):

Interest Rate ◽

Fundamental Solution ◽

Bond Pricing ◽

Stochastic Interest Rate ◽

Stochastic Interest ◽

Interest Rate Model

Download Full-text

Optimal investment and consumption decision for an investor with Ornstein-Uhlenbeck Stochastic interest rate model through utility maximization

10.1063/1.5136411 ◽

2019 ◽

Author(s):

Silas A. Ihedioha

Keyword(s):

Interest Rate ◽

Utility Maximization ◽

Optimal Investment ◽

Stochastic Interest Rate ◽

Stochastic Interest ◽

Interest Rate Model ◽

Consumption Decision ◽

Optimal Investment And Consumption

Download Full-text

Stochastic Interest Rate Model and Its Applications: A Case for India

SSRN Electronic Journal ◽

10.2139/ssrn.3656505 ◽

2020 ◽

Author(s):

Saharsh Poddar

Keyword(s):

Interest Rate ◽

Stochastic Interest Rate ◽

Stochastic Interest ◽

Interest Rate Model

Download Full-text

Discounting the distant future—Data on Australian discount rates estimated by a stochastic interest rate model

Data in Brief ◽

10.1016/j.dib.2016.12.026 ◽

2017 ◽

Vol 11 ◽

pp. 127-130

Author(s):

Chi Truong ◽

Stefan Trück

Keyword(s):

Interest Rate ◽

Stochastic Interest Rate ◽

Discount Rates ◽

Distant Future ◽

Stochastic Interest ◽

Future Data ◽

Interest Rate Model

Download Full-text