Pricing catastrophe swaps with default risk and stochastic interest rates

Market value of life insurance contracts under stochastic interest rates and default risk

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2005.01.002 ◽

2005 ◽

Vol 36 (3) ◽

pp. 499-516 ◽

Cited By ~ 47

Author(s):

Carole Bernard ◽

Olivier Le Courtois ◽

François Quittard-Pinon

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Default Risk ◽

Market Value ◽

Value Of Life ◽

Insurance Contracts ◽

Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

10.1007/978-3-642-17041-6 ◽

2004 ◽

Cited By ~ 7

Author(s):

Holger Kraft

Keyword(s):

Interest Rates ◽

Optimal Portfolios ◽

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

10.2139/ssrn.1283186 ◽

2008 ◽

Author(s):

Francois Quittard-Pinon ◽

Rivo A Randrianarivony

Keyword(s):

Interest Rates ◽

A Note on Exchange Options Under Stochastic Interest Rates

10.2139/ssrn.1626020 ◽

2010 ◽

Cited By ~ 1

Author(s):

Carole Bernard ◽

Zhenyu Cui

Keyword(s):

Interest Rates ◽

Stochastic Interest ◽

Exchange Options

Dynamic Model of Pension Savings Management with Stochastic Interest Rates and Stock Returns

10.2139/ssrn.1635879 ◽

2010 ◽

Author(s):

Igor Melichercik ◽

Daniel Sevcovic

Keyword(s):

Interest Rates ◽

Stock Returns ◽

Dynamic Model ◽

A Hybrid Model for Equity Indices and Stochastic Interest Rates

10.2139/ssrn.2173273 ◽

2012 ◽

Author(s):

Jan F. Baldeaux ◽

Man Chung Fung ◽

Katja Ignatieva ◽

Eckhard Platen

Keyword(s):

Interest Rates ◽

Hybrid Model ◽

Stochastic Interest ◽

Equity Indices

Dynamic Asset Allocation Under VAR Constraint with Stochastic Interest Rates

10.2139/ssrn.2324172 ◽

2008 ◽

Author(s):

Donatien Hainaut

Keyword(s):

Interest Rates ◽

Asset Allocation ◽

Dynamic Asset Allocation ◽

Revisiting the Classical Models: Black-Scholes and Heston With Stochastic Interest Rates and Term Structure of Volatilities

10.2139/ssrn.3192823 ◽

2018 ◽

Author(s):

Alberto Bueno-Guerrero

Keyword(s):

Interest Rates ◽

Term Structure ◽

Stochastic Interest ◽

Black Scholes ◽

Classical Models

Stochastic interest rates under rational inattention

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2020.101258 ◽

2020 ◽

Vol 54 ◽

pp. 101258

Author(s):

Yuhua Zhang ◽

Yingjie Niu ◽

Ting Wu

Keyword(s):

Interest Rates ◽

Rational Inattention ◽

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Review of Finance ◽

10.1023/a:1009860926279 ◽

1999 ◽

Vol 3 (3) ◽

pp. 273-310 ◽

Cited By ~ 12

Author(s):

George J. Jiang ◽

Pieter J. van der Sluis

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Volatility ◽

Pricing Models ◽

Stochastic Interest ◽

Index Option