Stochastic models for bond prices, function space integrals and immunization theory

DOI10.1016/0167-6687(88)90073-XzbMath0685.62085OpenAlexW2051863869MaRDI QIDQ1262066

John A. Beekman, Elias S. W. Shiu

Publication date: 1988

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90073-x

zbMATH Keywords

term structure of interest ratesconditional expectationinterest ratefuturesdurationOrnstein-UhlenbeckprocessItô's lemmano-arbitrage principleBrownian bridge processfunction space integralsbond-price partial differential equationdiffusion models for bond pricesimmunization theoryspot interest rateyield rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

Present value of some insurance portfolios ⋮ Moments of the present value of a portfolio of policies ⋮ Interest and mortality randomness in some annuities ⋮ Long-Term Yield Rates for Actuarial Valuations ⋮ Consistent fitting of one-factor models to interest rate data.

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
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• A note on immunization under a general stochastic equilibrium model of the term structure
• On the Fisher-Weil immunization theorem
• A Theory of the Term Structure of Interest Rates
• Itô’s Calculus in Financial Decision Making
• A mathematical model of pricing in a large system of cash bonds
• An equilibrium characterization of the term structure
• On Deviations between Theoretical and Empirical Distributions
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• Handbook of stochastic methods for physics, chemistry and natural sciences.

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