Stochastic Interest Rate
An optimal portfolio model with stochastic volatility and stochastic interest rate
... However, interest rate is not always fixed in our real ...cut interest rates ...under stochastic interest ...with stochastic volatility and constant interest ...with ...
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Pricing Stock Options with Stochastic Interest Rate
... with stochastic interest ...incorporating stochastic interest rates into option pricing does not improve the performance of the BS pricing ...
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Pricing variance swaps under stochastic volatility and stochastic interest rate
... of stochastic interest rate ...future interest rate. Examples are subjective interest rate expectations and beliefs of experts, and prices of fixed income ...the ...
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When to Refinance Mortgage Loans in a Stochastic Interest Rate Environment
... a Stochastic Interest Rate Environment Siwei Gan, Jin Zheng, Xiaoxia Feng, and Dejun Xie Abstract—Refinancing refers to the replacement of an exist- ing debt obligation with another debt obligation ...
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Stock loan valuation under a stochastic interest rate model
... a stochastic interest rate ...the interest rate direction are the focus of our ...the stochastic interest rate leads to a higher optimal exercise price of the stock ...
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Actuarial Present Values of Annuities under Stochastic Interest Rate
... under stochastic interest rate. We assumed the interest rate to be a stochastic process perturbed by reflected Brownian motion and Poisson ...of stochastic interest ...
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When to Refinance Mortgage Loans in a Stochastic Interest Rate Environment
... a Stochastic Interest Rate Environment Siwei Gan, Jin Zheng, Xiaoxia Feng, and Dejun Xie Abstract—Refinancing refers to the replacement of an exist- ing debt obligation with another debt obligation ...
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A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
... It needs to be pointed out that although Cao et al. [ 26 ] have already worked on the determination of variance swap prices under this model, their formula is not analytical since it involves solving some ODEs (ordinary ...
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The Call Option Pricing Based on Investment Strategy with Stochastic Interest Rate
... the stochastic interest rate model has been extensive researched, but the option pricing under investment strategy is still a new ...the interest rate is a constant. In this paper, the ...
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Installment Joint Life Insurance Actuarial Models with the Stochastic Interest Rate
... a stochastic interest rate environment is an active research area in life ...an interest force accumulation function model with a Wiener process and a Poisson process is proposed as the basis ...
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Quantile hedging for equity-linked life insurance contracts with stochastic interest rate
... Alexander Melnikov a,* , Shuo Tong a a Department of Mathematics and Statistical Science, University of Alberta, Edmonton,T6G2G1,Canada Abstract This paper studies the problem of pricing equity-linked life insurance ...
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LIFE INSURANCE WITH STOCHASTIC INTEREST RATE. L. Noviyanti a, M. Syamsuddin b
... where interest rate is assumed to be fixed over ...the interest rates are ...fixed interest rate to stochastic interest rate using the Vasicek and the Cox, ...
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A Linear Regression Approach for Determining Option Pricing for Currency Rate Diffusion Model with Dependent Stochastic Volatility, Stochastic Interest Rate, and Return Processes
... 1) stochastic vola- tility process, 2) stochastic domestic interest rate process, and 3) return process which are Brownian motion return processes that are stochastically ...foreign ...
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Risk-Neutral Valuation of Participating Life Insurance Contracts in a Stochastic Interest Rate Environment
... Abstract Over the last years the valuation of life insurance contracts using concepts from financial mathematics has become a popular research area for actuaries as well as financial economists. In particular, several ...
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Pricing Stock Options with Stochastic Interest Rate
... the interest rate remains constant during the entire option ...the interest rate to be stochastic, and examine theoretically and empirically how this additional source of uncertainty ...
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Local Volatility Model With Stochastic Interest Rate
... K ) local volatility surface. There are many interpolation and extrapolation techniques to be used in constructing a volatility surface (cubic splines [17], thin plate splines [50], radius basis function [24], ...
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Pricing Convertible Bonds using Stochastic Interest Rate
... In the real market there is not an infinite number of zero-coupon bonds. By using market information on existing zero-coupon bonds it is only possible to determine a few points in the discount function or spot ...
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A note on the worst case approach for a market with a stochastic interest rate
... instantaneous interest rate is determined by the Hull–White model and the investor employs the HARA utility to measure his ...a stochastic game between the investor and the ...
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The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
... and stochastic risk ...the stochastic duration measure with respect to its deterministic counterpart but also provides a better immunization performance than the alternative lower-dimensional specifi- ...a ...
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Implied Bond and Derivative Prices Based on Non Linear Stochastic Interest Rate Models
... and interest rate contingent claims based on one factor non-linear interest rate ...non-linear interest rate model that incorporates features suggested by recent ...
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