Search Results - subject:"stochastic interest rate"

Fair valuations of insurance policies under multiple risk factors : a flexible lattice approach

Devolder, Pierre; Russo, Emilio; Staino, Alessandro - In: ASTIN bulletin : the journal of the International … 54 (2024) 2, pp. 385-409

Persistent link: https://www.econbiz.de/10015055294

Optimal investment strategy for DC pension schemes under partial information

Ban, Manli; He, Hua; Liang, Xiaoqing - In: Risks : open access journal 10 (2022) 11, pp. 1-20

We consider a defined-contribution (DC)-pension-fund-management problem under partial information. The fund manager is allowed to invest the wealth from the fund account into a financial market consisting of a risk-free account, a stock and a rolling bond. The aim of the fund manager is to...

Persistent link: https://www.econbiz.de/10014226044

Optimal exercise frontier of Bermudan options by simulation methods

Xie, Dejun; Edwards, David A.; Wu, Xiaoxia - In: International journal of financial engineering 9 (2022) 3, pp. 2250013-1-2250013-20

Persistent link: https://www.econbiz.de/10013367611

The American put with finite-time maturity and stochastic interest rate

Cai, Cheng; De Angelis, Tiziano; Palczewski, Jan - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1170-1213

Persistent link: https://www.econbiz.de/10013463400

Decisiones óptimas de consumo y portafolio con opciones asiáticas de tipo americano en un modelo de equilibrio general dinámico estocástico

Martínez-Palacios, Ma. Teresa V.; Ortiz-Ramírez, Ambrosio - In: Análisis económico 35 (2020) 89, pp. 193-213

Persistent link: https://www.econbiz.de/10012508543

Pricing American options with jumps in asset and volatility

Taruvinga, Blessing; Kang, Boda; Nikitopoulos, … - 2019 - Updated January 2019

Persistent link: https://www.econbiz.de/10013255767

On a new corporate bond pricing model with potential credit rating change and stochastic interest rate

Yin, Hong-Ming; Liang, Jin; Wu, Yuan - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-12

interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation's total …In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic …

Persistent link: https://www.econbiz.de/10012611043

On a new corporate bond pricing model with potential credit rating change and stochastic interest rate

Yin, Hong-Ming; Liang, Jin; Wu, Yuan - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12

interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total …In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic …

Persistent link: https://www.econbiz.de/10011960410

Portfolio optimization and mortgage choice

Nordfang, Maj-Britt; Steffensen, Mogens - In: Journal of Risk and Financial Management 10 (2017) 1, pp. 1-23

This paper studies the optimal mortgage choice of an investor in a simple bond market with a stochastic interest rate … solutions to portfolio problems with a stochastic interest rate. We derive the optimal portfolio of a mortgagor in a simple …

Persistent link: https://www.econbiz.de/10011843280

Portfolio optimization and mortgage choice

Nordfang, Maj-Britt; Steffensen, Mogens - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011619128