Global ETD Search

Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck

Acott, David MDepartment of Mathematics and Applied Mathematics2006

… options (Karatzas (1988)) in an economy with stochastic interest rates. In particular, we consider an economy with Vasicek (1977) type interest rates.

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Essays on corporate bonds

Bao, Jack (Jack C.)Massachusetts Institute of Technology2009

… I then calibrate a .jump diffusion model and a stochastic volatility model, finding that the jump diffusion model weakly improves cross-sectional explanatory power while the stochastic volatility model does not. However, much of the cross-sectional variation in yield spreads remains unexplained …

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Survivor bond models for securitizing longevity risk

Codjoe, Priscilla MansahMissouri University of Science and Technology

… the risk that a reference population’s mortality rates deviate from what is projected from prior life tables. This is due to discoveries in biological sciences, improved public health measures, and nutrition, which have dramatically increased life expectancy. Longevity risk raises life insurers’ …

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Risk management of variable annuities

Ruez, FrederikUniversität Ulm

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