Valuing catastrophe bonds involving correlation and CIR interest rate model
type: Item
instance of: scholarly article
title: Valuing catastrophe bonds involving correlation and CIR interest rate model
zbMATH Open document ID: 1409.91247
author: Y. Aharonov
published in: Computational and Applied Mathematics
publication date: 2018-08-09T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91-04
zbMATH DE Number: 6915457
zbMATH Keywords: catastrophe bonds
zbMATH Keywords: asset pricing
zbMATH Keywords: stochastic models
zbMATH Keywords: Monte Carlo simulations
zbMATH Keywords: CIR model
Wikidata QID: Q59472414
MaRDI profile type: Publication
full work available at URL: s40314-016-0348-2
OpenAlex ID: W2361733783
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DOI: 10.1007/S40314-016-0348-2
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description: scientific article; zbMATH DE number 6915457