Bond and option pricing for interest rate model with clustering effects
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Publication:4554475
DOI10.1080/14697688.2017.1388534zbMath1400.91626OpenAlexW2768338064MaRDI QIDQ4554475
Yang Shen, Xin Zhang, Jie Xiong
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1388534
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Mean-Variance Portfolio Selection in Contagious Markets ⋮ A BSDE approach for bond pricing under interest rate models with self-exciting jumps ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion ⋮ Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
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