Inverse problems to estimate market price of risk in catastrophe bonds
From MaRDI portal
Publication:6646215
DOI10.3103/S1066530724700133MaRDI QIDQ6646215
A. Neisy, S. Pourmohammad Azizi
Publication date: 29 November 2024
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
Integro-partial differential equations (45K05) Inverse problems for PDEs (35R30) Risk models (general) (91B05) Financial markets (91G15)
Cites Work
- Title not available (Why is that?)
- The pricing of options and corporate liabilities
- An inverse problem of identifying the coefficient of first-order in a degenerate parabolic equation
- Valuation of structured risk management products
- Pricing and simulations of catastrophe bonds
- Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
- Catastrophe equity put options with target variance
- Pricing catastrophe risk bonds: a mixed approximation method
- Some analysis of Tikhonov regularization for the inverse problem of option pricing in the price-dependent case
- An inverse finance problem for estimation of the volatility
- On the nature of ill-posedness of an inverse problem arising in option pricing
- Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
- An Intertemporal Capital Asset Pricing Model
- Pricing of zero-coupon and coupon cat bonds
This page was built for publication: Inverse problems to estimate market price of risk in catastrophe bonds
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6646215)
