Pricing inflation products with stochastic volatility and stochastic interest rates

DOI10.1016/j.insmatheco.2013.01.003zbMath1284.91554OpenAlexW2162604065MaRDI QIDQ2442529

Stefan N. Singor, Lech A. Grzelak, David D. B. van Bragt, Cornelis W. Oosterlee

Publication date: 3 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.01.003

zbMATH Keywords

inflationMonte Carlo simulationpension fundaffine diffusion processesHeston Hull-White modelindexation provision

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure ⋮ INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA ⋮ Valuing inflation-linked death benefits under a stochastic volatility framework ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Rational Models for Inflation-Linked Derivatives ⋮ Pricing range notes within Wishart affine models

Cites Work

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