An analytic solution for a Vasicek interest rate convertible bond model.
Convergence model of interest rates of CKLS type
This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we...
Dynamic Stochastic Accumulation Model With Application to Pension Savings Management
Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering.
More multiplicity
More Multiplicity in the Rate of Interest; Poly-party and Poly-creditor Transactions. II
More Multiplicity in the Rate of Interest; Poly-party and Poly-creditor Transactions. I
On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox–Ingersoll–Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of a solution...
Pricing equity-indexed annuities under stochastic interest rates using copulas.
Pricing variance swaps for stochastic volatilities with delay and jumps.
Sur les itérations élémentaires, concernant la formule d'Euler
The Hull-White model and multiobjective calibration with consistent curves: empirical evidence.
The pricing of credit risky securities under stochastic interest rate model with default correlation
In this paper, we study the pricing of credit risky securities under a three-firms contagion model. The interacting default intensities not only depend on the defaults of other firms in the system, but also depend on the default-free interest rate which follows jump diffusion stochastic differential equation, which extends the previous three-firms models (see R. A. Jarrow and F. Yu (2001), S. Y. Leung and Y. K. Kwok (2005), A. Wang and Z. Ye (2011)). By using the method of change of measure and...