Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model

DOI10.1007/978-3-319-42082-0_17zbMath1356.91088OpenAlexW2555388897MaRDI QIDQ2960558

Jan R. M. Röman, Anatoliy Malyarenko, Oskar Schyberg

Publication date: 17 February 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-42082-0_17

zbMATH Keywords

hedgingMalliavin calculuscatastrophe bond

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
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