A joint stock and bond market based on the hyperbolic Gaussian model

DOI10.1007/S13385-012-0060-6zbMath1273.91448OpenAlexW2086220972MaRDI QIDQ362053

Robin Pfeiffer, Nicole Bäuerle

Publication date: 20 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032858/3270670

zbMATH Keywords

Monte Carlo simulationKalman filterinterest rate modelsdividend discount approachhyperbolic Gaussian modelpotential approach

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

THE POTENTIAL APPROACH IN PRACTICE

Cites Work

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• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• Interest rate models -- theory and practice

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