Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products
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Publication:2209788
DOI10.1007/s13385-019-00214-0zbMath1452.91315OpenAlexW2980301443WikidataQ127130829 ScholiaQ127130829MaRDI QIDQ2209788
Publication date: 4 November 2020
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-019-00214-0
Related Items (7)
Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach ⋮ A multi-curve HJM factor model for pricing and risk management ⋮ STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL ⋮ Phase-type representations of stochastic interest rates with applications to life insurance ⋮ THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH ⋮ Correction to: ``Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products ⋮ The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
Cites Work
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Modern financial mathematics -- theory and practical applications. Vol. 2. Extensions of the Black-Scholes model, interests, credit risk and statistics
- An equilibrium characterization of the term structure
- Bond pricing in a hidden Markov model of the short rate
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