OPTIMAL PORTFOLIO SELECTION UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

Stochastic Interest ◽

Optimal Portfolio Selection

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

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2009.09.003 ◽

2009 ◽

Vol 45 (3) ◽

pp. 436-448 ◽

Cited By ~ 43

Author(s):

Alexander van Haastrecht ◽

Roger Lord ◽

Antoon Pelsser ◽

David Schrager

Keyword(s):

Interest Rates ◽

Stochastic Volatility ◽

Insurance Contracts ◽

Accounting for Stochastic Interest Rates, Stochastic Volatility and a General Dependency Structure in the Valuation of Forward Starting Options

SSRN Electronic Journal ◽

10.2139/ssrn.1576617 ◽

2009 ◽

Author(s):

Alexander van Haastrecht ◽

Antoon A. J. Pelsser

Keyword(s):

Interest Rates ◽

Stochastic Volatility ◽

Dependency Structure ◽

European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates

Journal of Mathematical Finance ◽

10.4236/jmf.2011.13013 ◽

2011 ◽

Vol 01 (03) ◽

pp. 98-108 ◽

Cited By ~ 2

Author(s):

Sarisa Pinkham ◽

Pairote Sattayatham

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Volatility ◽

European Option ◽

European Option Pricing ◽

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.275813 ◽

2001 ◽

Author(s):

George J. Jiang ◽

Pieter Jelle van der Sluis

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Volatility ◽

Pricing Models ◽

Stochastic Interest ◽

Index Option

Bounds for present value functions with stochastic interest rates and stochastic volatility

Insurance Mathematics and Economics ◽

10.1016/s0167-6687(02)00126-9 ◽

2002 ◽

Vol 31 (1) ◽

pp. 87-103 ◽

Cited By ~ 5

Author(s):

Ann De Schepper ◽

Marc Goovaerts ◽

Jan Dhaene ◽

Rob Kaas ◽

David Vyncke

Keyword(s):

Interest Rates ◽

Stochastic Volatility ◽

Value Functions ◽

Present Value ◽

Pricing inflation products with stochastic volatility and stochastic interest rates

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2013.01.003 ◽

2013 ◽

Vol 52 (2) ◽

pp. 286-299 ◽

Cited By ~ 6

Author(s):

Stefan N. Singor ◽

Lech A. Grzelak ◽

David D.B. van Bragt ◽

Cornelis W. Oosterlee

Keyword(s):

Interest Rates ◽

Stochastic Volatility ◽

A stochastic volatility model and optimal portfolio selection

Quantitative Finance ◽

10.1080/14697688.2012.740568 ◽

2013 ◽

Vol 13 (10) ◽

pp. 1547-1558 ◽

Cited By ~ 31

Author(s):

Xudong Zeng ◽

Michael Taksar

Keyword(s):

Stochastic Volatility ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Stochastic Volatility Model ◽

Volatility Model ◽

Optimal Portfolio Selection

Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbu018 ◽

2014 ◽

Vol 13 (4) ◽

pp. 839-867 ◽

Cited By ~ 3

Author(s):

Abel Rodríguez ◽

Enrique ter Horst ◽

Samuel Malone

Keyword(s):

Bayesian Inference ◽

Credit Risk ◽

Interest Rates ◽

Stochastic Volatility ◽

Risk Model ◽

Stochastic Interest ◽

Credit Risk Model

Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1197262 ◽

2009 ◽

Cited By ~ 2

Author(s):

Alexander van Haastrecht ◽

Antoon A. J. Pelsser

Keyword(s):

Interest Rates ◽

Stochastic Volatility ◽

Stock Options ◽