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isPartOf:"SFB 649 discussion paper"
~isPartOf:"Annals of finance"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Interest rate"
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Search: subject_exact:"Stochastisches Modell"
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Interest rate
Stochastic process
547
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145
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133
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Liang, Zongxia
4
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2
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Rubtsov, Alexey
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SFB 649 discussion paper
Annals of finance
Insurance / Mathematics & economics
Journal of economic dynamics & control
International journal of theoretical and applied finance
13
Journal of mathematical finance
7
HWWA discussion paper
6
Risks : open access journal
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The journal of computational finance
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European journal of operational research : EJOR
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International journal of financial engineering
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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NBER working paper series
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International review of economics & finance : IREF
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Review of quantitative finance and accounting
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Risk and decision analysis
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of finance : the journal of the American Finance Association
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Advanced series on statistical science & applied probability
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Agricultural finance review
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Annals of financial economics
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Asia-Pacific journal of financial studies
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CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
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ECONIS (ZBW)
30
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1
Valuation of general GMWB annuities in a low interest rate environment
Fontana, Claudio
;
Rotondi, Francesco
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 142-167
Persistent link: https://www.econbiz.de/10014446751
Saved in:
2
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo
- In:
Annals of finance
18
(
2022
)
4
,
pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
Saved in:
3
Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
Tang, Mei-Ling
;
Chen, Son-nan
;
Lai, Gene C.
;
Wu, Ting-Pin
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 87-104
Persistent link: https://www.econbiz.de/10011825223
Saved in:
4
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
Kang, Boda
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 43-56
Persistent link: https://www.econbiz.de/10011825347
Saved in:
5
The impact of negative interest rates on optimal capital injections
Eisenberg, Julia
;
Krühner, Paul
- In:
Insurance / Mathematics & economics
82
(
2018
),
pp. 1-10
Persistent link: https://www.econbiz.de/10011929772
Saved in:
6
Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
Saved in:
7
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei
;
Li, Zhongfei
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
Saved in:
8
Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate
Shevchenko, Pavel V.
;
Luo, Xiaolin
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 104-117
Persistent link: https://www.econbiz.de/10011774788
Saved in:
9
Valuing inflation-linked death benefits under a stochastic volatility framework
Liang, Zongxia
;
Sheng, Wenlong
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 45-58
Persistent link: https://www.econbiz.de/10011530922
Saved in:
10
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
Deelstra, Griselda
;
Grasselli, Martino
;
Van Weverberg, …
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 205-219
Persistent link: https://www.econbiz.de/10011630651
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