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Interest rates risk-premium and shape of the yield curve
1. | Department of Mathematical Sciences, University of Cincinnati, Cincinnati, Ohio 45221-0025, United States |
References:
[1] |
D. Becherer, Utility-indifference hedging and valuation via reaction-diffusion systems,, Proc. R. Soc. Lond. A, 460 (2004), 27.
doi: 10.1098/rspa.2003.1234. |
[2] |
F. Black and M. Scholes, The pricing of options and corporate liabilities,, J. Political Econ., 81 (1973), 637.
doi: 10.1086/260062. |
[3] |
D. Brigo and F. Mercurio, Interest Rate Models Theory and Practice,, Springer, (2001).
doi: 10.1007/978-3-662-04553-4. |
[4] |
M. Davis, V. G. Panas and T. Zariphopoulou, European option pricing with transaction costs,, SIAM Journal on Control and Optimization, 31 (1993), 470.
doi: 10.1137/0331022. |
[5] |
A. Friedman, Stochastic Differential Equations,, Vol 1 & 2, (1975). |
[6] |
S. D. Hodges and A. Neuberger, Optimal replication of contingent claims under transaction costs,, Review of Futures Markets, 8 (1989), 222. |
[7] |
J. Hull and A. White, Pricing interest-rate derivative securities,, The Review of Financial Studies, 3 (1990), 573.
doi: 10.1093/rfs/3.4.573. |
[8] |
L. Jiang, Mathematical Modeling and Methods of Option Pricing,, World Scientific Publishing, (2005).
doi: 10.1142/5855. |
[9] |
J. Kallsen, Utility-based derivative pricing in incomplete markets,, Mathematical Finance-Bachelier Congress 2000, (2000), 313.
|
[10] |
Z. Kang and S. Stojanovic, Interest rate risk premium and equity valuation,, Journal of Systems Science and Complexity, 23 (2010), 484.
doi: 10.1007/s11424-010-0142-y. |
[11] |
G. Liang and L. Jiang, A modified structural model for credit risk,, IMA Journal of Management Mathematics, 23 (2012), 147.
doi: 10.1093/imaman/dpr004. |
[12] |
R. C. Merton, Theory of rational option pricing,, Bell Journal of Economics and Management Science, 4 (1973), 141.
doi: 10.2307/3003143. |
[13] |
R. C. Merton, Continuous-Time Finance,, Wiley-Blackwell, (1990). |
[14] |
M. Musiela and T. Zariphopoulou, An example of indifference prices under exponential preferences,, Finance and Stochastics, 8 (2004), 229.
doi: 10.1007/s00780-003-0112-5. |
[15] |
R. Rouge and N. El Karoui, Pricing via utility maximization and entropy,, Mathematical Finance, 10 (2000), 259.
doi: 10.1111/1467-9965.00093. |
[16] |
S. Stojanovic, Computational Financial Mathematics using MATHEMATICA®,, Birkhauser, (2003).
doi: 10.1007/978-1-4612-0043-7. |
[17] |
S. Stojanovic, Risk premium and fair option prices under stochastic volatility: The HARA solution,, C. R. Acad. Sci. Paris Ser. I, 340 (2005), 551.
doi: 10.1016/j.crma.2004.11.002. |
[18] |
S. Stojanovic, Stochastic Volatility & Risk Premium,, Lecture Notes, (2005). |
[19] |
S. Stojanovic, Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itô SDE systems,, Asia Pacific Financial Markets, 13 (2006), 345. |
[20] |
S. Stojanovic, Advanced Financial Engineering for Interest Rates, Equity, and FX,, Lecture Notes, (2007). |
[21] |
S. Stojanovic, Any-utility neutral and indifference pricing and hedging,, Risk and Decision Analysis, 4 (2013), 103. |
[22] |
S. Stojanovic, Neutral and Indifference Portfolio Pricing, Hedging and Investing,, Springer, (2011).
|
[23] |
O. Vasicek, An equilibrium characterization of the term structure,, Journal of Financial Economics, 5 (1977), 177.
doi: 10.1002/9781119186229.ch6. |
show all references
References:
[1] |
D. Becherer, Utility-indifference hedging and valuation via reaction-diffusion systems,, Proc. R. Soc. Lond. A, 460 (2004), 27.
doi: 10.1098/rspa.2003.1234. |
[2] |
F. Black and M. Scholes, The pricing of options and corporate liabilities,, J. Political Econ., 81 (1973), 637.
doi: 10.1086/260062. |
[3] |
D. Brigo and F. Mercurio, Interest Rate Models Theory and Practice,, Springer, (2001).
doi: 10.1007/978-3-662-04553-4. |
[4] |
M. Davis, V. G. Panas and T. Zariphopoulou, European option pricing with transaction costs,, SIAM Journal on Control and Optimization, 31 (1993), 470.
doi: 10.1137/0331022. |
[5] |
A. Friedman, Stochastic Differential Equations,, Vol 1 & 2, (1975). |
[6] |
S. D. Hodges and A. Neuberger, Optimal replication of contingent claims under transaction costs,, Review of Futures Markets, 8 (1989), 222. |
[7] |
J. Hull and A. White, Pricing interest-rate derivative securities,, The Review of Financial Studies, 3 (1990), 573.
doi: 10.1093/rfs/3.4.573. |
[8] |
L. Jiang, Mathematical Modeling and Methods of Option Pricing,, World Scientific Publishing, (2005).
doi: 10.1142/5855. |
[9] |
J. Kallsen, Utility-based derivative pricing in incomplete markets,, Mathematical Finance-Bachelier Congress 2000, (2000), 313.
|
[10] |
Z. Kang and S. Stojanovic, Interest rate risk premium and equity valuation,, Journal of Systems Science and Complexity, 23 (2010), 484.
doi: 10.1007/s11424-010-0142-y. |
[11] |
G. Liang and L. Jiang, A modified structural model for credit risk,, IMA Journal of Management Mathematics, 23 (2012), 147.
doi: 10.1093/imaman/dpr004. |
[12] |
R. C. Merton, Theory of rational option pricing,, Bell Journal of Economics and Management Science, 4 (1973), 141.
doi: 10.2307/3003143. |
[13] |
R. C. Merton, Continuous-Time Finance,, Wiley-Blackwell, (1990). |
[14] |
M. Musiela and T. Zariphopoulou, An example of indifference prices under exponential preferences,, Finance and Stochastics, 8 (2004), 229.
doi: 10.1007/s00780-003-0112-5. |
[15] |
R. Rouge and N. El Karoui, Pricing via utility maximization and entropy,, Mathematical Finance, 10 (2000), 259.
doi: 10.1111/1467-9965.00093. |
[16] |
S. Stojanovic, Computational Financial Mathematics using MATHEMATICA®,, Birkhauser, (2003).
doi: 10.1007/978-1-4612-0043-7. |
[17] |
S. Stojanovic, Risk premium and fair option prices under stochastic volatility: The HARA solution,, C. R. Acad. Sci. Paris Ser. I, 340 (2005), 551.
doi: 10.1016/j.crma.2004.11.002. |
[18] |
S. Stojanovic, Stochastic Volatility & Risk Premium,, Lecture Notes, (2005). |
[19] |
S. Stojanovic, Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itô SDE systems,, Asia Pacific Financial Markets, 13 (2006), 345. |
[20] |
S. Stojanovic, Advanced Financial Engineering for Interest Rates, Equity, and FX,, Lecture Notes, (2007). |
[21] |
S. Stojanovic, Any-utility neutral and indifference pricing and hedging,, Risk and Decision Analysis, 4 (2013), 103. |
[22] |
S. Stojanovic, Neutral and Indifference Portfolio Pricing, Hedging and Investing,, Springer, (2011).
|
[23] |
O. Vasicek, An equilibrium characterization of the term structure,, Journal of Financial Economics, 5 (1977), 177.
doi: 10.1002/9781119186229.ch6. |
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