Zhao, Chaoyi; Jia, Zijian; Wu, Lan Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates. (English) Zbl 07804024 Insur. Math. Econ. 114, 156-175 (2024). MSC: 91G05 91G30 PDFBibTeX XMLCite \textit{C. Zhao} et al., Insur. Math. Econ. 114, 156--175 (2024; Zbl 07804024) Full Text: DOI
Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten Term structure modeling with overnight rates beyond stochastic continuity. (English) Zbl 07790869 Math. Finance 34, No. 1, 151-189 (2024). MSC: 91G30 PDFBibTeX XMLCite \textit{C. Fontana} et al., Math. Finance 34, No. 1, 151--189 (2024; Zbl 07790869) Full Text: DOI arXiv OA License
Ahmad, Jamaal; Bladt, Mogens Phase-type representations of stochastic interest rates with applications to life insurance. (English) Zbl 07807623 Eur. Actuar. J. 13, No. 2, 571-606 (2023). MSC: 91G05 91G30 62M05 PDFBibTeX XMLCite \textit{J. Ahmad} and \textit{M. Bladt}, Eur. Actuar. J. 13, No. 2, 571--606 (2023; Zbl 07807623) Full Text: DOI arXiv OA License
Hess, Markus Interest rate modeling with generalized Langevin equations. (English) Zbl 07789479 Braz. J. Probab. Stat. 37, No. 3, 513-533 (2023). MSC: 91G30 91G20 60H30 PDFBibTeX XMLCite \textit{M. Hess}, Braz. J. Probab. Stat. 37, No. 3, 513--533 (2023; Zbl 07789479) Full Text: DOI
Bienek, Tobias; Deelstra, Griselda; Lichtenstern, Andreas; Zagst, Rudi A multi-curve HJM factor model for pricing and risk management. (English) Zbl 07778534 Quant. Finance 23, No. 11, 1659-1675 (2023). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{T. Bienek} et al., Quant. Finance 23, No. 11, 1659--1675 (2023; Zbl 07778534) Full Text: DOI
Jenkins, Paul A.; Pollock, Murray; Roberts, Gareth O. Flexible Bayesian inference for diffusion processesusing splines. (English) Zbl 07775423 Methodol. Comput. Appl. Probab. 25, No. 4, Paper No. 83, 24 p. (2023). MSC: 65C05 62M05 PDFBibTeX XMLCite \textit{P. A. Jenkins} et al., Methodol. Comput. Appl. Probab. 25, No. 4, Paper No. 83, 24 p. (2023; Zbl 07775423) Full Text: DOI arXiv OA License
Yang, Xiangfeng; Ke, Hua Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption. (English) Zbl 07772181 Fuzzy Optim. Decis. Mak. 22, No. 3, 447-462 (2023). MSC: 91G30 91G20 60G40 91G80 PDFBibTeX XMLCite \textit{X. Yang} and \textit{H. Ke}, Fuzzy Optim. Decis. Mak. 22, No. 3, 447--462 (2023; Zbl 07772181) Full Text: DOI
Palapies, Lars Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions. (English) Zbl 07767334 Decis. Econ. Finance 46, No. 2, 415-460 (2023). MSC: 91G20 91G30 60H05 44A10 PDFBibTeX XMLCite \textit{L. Palapies}, Decis. Econ. Finance 46, No. 2, 415--460 (2023; Zbl 07767334) Full Text: DOI
Fontana, Claudio; Rotondi, Francesco Valuation of general GMWB annuities in a low interest rate environment. (English) Zbl 1528.91062 Insur. Math. Econ. 112, 142-167 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 91G30 PDFBibTeX XMLCite \textit{C. Fontana} and \textit{F. Rotondi}, Insur. Math. Econ. 112, 142--167 (2023; Zbl 1528.91062) Full Text: DOI arXiv
Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. A stochastic control perspective on term structure models with roll-over risk. (English) Zbl 1524.91127 Finance Stoch. 27, No. 4, 903-932 (2023). MSC: 91G30 60G44 93E20 91G10 PDFBibTeX XMLCite \textit{C. Fontana} et al., Finance Stoch. 27, No. 4, 903--932 (2023; Zbl 1524.91127) Full Text: DOI arXiv OA License
Mi, Hui; Di, Wenrong; Lin, Jinguan Optimal investment and reinsurance with Vasicek interest rate and dependent risk. (Chinese. English summary) Zbl 07745106 Chin. J. Appl. Probab. Stat. 39, No. 2, 239-258 (2023). MSC: 91G10 91G30 93E20 49L12 PDFBibTeX XMLCite \textit{H. Mi} et al., Chin. J. Appl. Probab. Stat. 39, No. 2, 239--258 (2023; Zbl 07745106) Full Text: Link
Backwell, Alex; Macrina, Andrea; Schlögl, Erik; Skovmand, David Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach. (English) Zbl 1522.91288 Front. Math. Finance 2, No. 3, 340-384 (2023). MSC: 91G30 91G15 91G40 PDFBibTeX XMLCite \textit{A. Backwell} et al., Front. Math. Finance 2, No. 3, 340--384 (2023; Zbl 1522.91288) Full Text: DOI
Coffie, Emmanuel Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation. (English) Zbl 1525.65010 Stat. Risk. Model. 40, No. 3-4, 67-89 (2023). MSC: 65C30 65C05 91G30 91G60 PDFBibTeX XMLCite \textit{E. Coffie}, Stat. Risk. Model. 40, No. 3--4, 67--89 (2023; Zbl 1525.65010) Full Text: DOI arXiv
Berger, Tino; Kempa, Bernd; Zou, Feina The role of macroeconomic uncertainty in the determination of the natural rate of interest. (English) Zbl 1521.91365 Econ. Lett. 229, Article ID 111191, 5 p. (2023). MSC: 91G30 PDFBibTeX XMLCite \textit{T. Berger} et al., Econ. Lett. 229, Article ID 111191, 5 p. (2023; Zbl 1521.91365) Full Text: DOI
Wang, Ning; Zhu, Song-Ping; Elliott, Robert J. Optimal asset allocation under search frictions and stochastic interest rate. (English) Zbl 1520.91415 Quant. Finance 23, No. 6, 1019-1033 (2023). MSC: 91G30 93E20 49L20 91G60 65M06 PDFBibTeX XMLCite \textit{N. Wang} et al., Quant. Finance 23, No. 6, 1019--1033 (2023; Zbl 1520.91415) Full Text: DOI
Skov, Jacob Bjerre; Skovmand, David Decomposing LIBOR in transition: evidence from the futures markets. (English) Zbl 1520.91394 Quant. Finance 23, No. 6, 959-978 (2023). MSC: 91G15 91G30 91G20 PDFBibTeX XMLCite \textit{J. B. Skov} and \textit{D. Skovmand}, Quant. Finance 23, No. 6, 959--978 (2023; Zbl 1520.91394) Full Text: DOI arXiv
Iftimie, Bogdan A robust investment-consumption optimization problem in a switching regime interest rate setting. (English) Zbl 1520.91411 J. Glob. Optim. 86, No. 3, 713-739 (2023). MSC: 91G30 93E20 90C46 90C47 49N15 PDFBibTeX XMLCite \textit{B. Iftimie}, J. Glob. Optim. 86, No. 3, 713--739 (2023; Zbl 1520.91411) Full Text: DOI
Bonciani, Dario; Oh, Joonseok Monetary policy inertia and the paradox of flexibility. (English) Zbl 1518.91155 J. Econ. Dyn. Control 151, Article ID 104668, 15 p. (2023). MSC: 91B64 91G30 PDFBibTeX XMLCite \textit{D. Bonciani} and \textit{J. Oh}, J. Econ. Dyn. Control 151, Article ID 104668, 15 p. (2023; Zbl 1518.91155) Full Text: DOI
Caballero-Montes, Tristan Integrating market conditions into regulatory decisions on microfinance interest rates: does competition matter? (English) Zbl 1520.91410 Ann. Finance 19, No. 2, 201-232 (2023). MSC: 91G30 PDFBibTeX XMLCite \textit{T. Caballero-Montes}, Ann. Finance 19, No. 2, 201--232 (2023; Zbl 1520.91410) Full Text: DOI
Fu, Bowen Measuring the trend real interest rate in a data-rich environment. (English) Zbl 1518.91292 J. Econ. Dyn. Control 147, Article ID 104606, 17 p. (2023). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{B. Fu}, J. Econ. Dyn. Control 147, Article ID 104606, 17 p. (2023; Zbl 1518.91292) Full Text: DOI
Hassan, Tarek A.; Mertens, Thomas M.; Zhang, Tony A risk-based theory of exchange rate stabilization. (English) Zbl 1519.91171 Rev. Econ. Stud. 90, No. 2, 879-911 (2023). MSC: 91B64 91G30 PDFBibTeX XMLCite \textit{T. A. Hassan} et al., Rev. Econ. Stud. 90, No. 2, 879--911 (2023; Zbl 1519.91171) Full Text: DOI
Vrins, Frédéric; Wang, Linqi Asymmetric short-rate model without lower bound. (English) Zbl 1518.91294 Quant. Finance 23, No. 2, 279-295 (2023). MSC: 91G30 PDFBibTeX XMLCite \textit{F. Vrins} and \textit{L. Wang}, Quant. Finance 23, No. 2, 279--295 (2023; Zbl 1518.91294) Full Text: DOI
Larcher, Gerhard The art of quantitative finance Vol. 2. Volatilities, stochastic analysis and valuation tools. (English) Zbl 1527.91001 Springer Texts in Business and Economics. Cham: Springer (ISBN 978-3-031-23869-7/hbk; 978-3-031-23870-3/ebook). xii, 353 p. (2023). Reviewer: Claudio Fontana (Paris) MSC: 91-01 91G15 91G20 91G30 91G60 PDFBibTeX XMLCite \textit{G. Larcher}, The art of quantitative finance Vol. 2. Volatilities, stochastic analysis and valuation tools. Cham: Springer (2023; Zbl 1527.91001) Full Text: DOI
Fontana, Claudio Short communication: caplet pricing in affine models for alternative risk-free rates. (English) Zbl 1511.91149 SIAM J. Financ. Math. 14, No. 1, SC1-SC16 (2023). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{C. Fontana}, SIAM J. Financ. Math. 14, No. 1, SC1-SC16 (2023; Zbl 1511.91149) Full Text: DOI
Bian, Lihua; Yao, Haixiang Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching. (English) Zbl 1524.91082 J. Ind. Manag. Optim. 19, No. 8, 5984-6011 (2023). MSC: 91G05 91G30 91A10 91A80 PDFBibTeX XMLCite \textit{L. Bian} and \textit{H. Yao}, J. Ind. Manag. Optim. 19, No. 8, 5984--6011 (2023; Zbl 1524.91082) Full Text: DOI
Zhang, Yumo Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading. (English) Zbl 07668915 J. Ind. Manag. Optim. 19, No. 6, 4022-4063 (2023). MSC: 91G20 91G30 60H30 PDFBibTeX XMLCite \textit{Y. Zhang}, J. Ind. Manag. Optim. 19, No. 6, 4022--4063 (2023; Zbl 07668915) Full Text: DOI
Albeverio, Sergio; Marinelli, Carlo; Mastrogiacomo, Elisa Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models. (English) Zbl 1502.60099 J. Differ. Equations 342, 282-324 (2023). Reviewer: Feng-Yu Wang (Tianjin) MSC: 60H15 35Q91 PDFBibTeX XMLCite \textit{S. Albeverio} et al., J. Differ. Equations 342, 282--324 (2023; Zbl 1502.60099) Full Text: DOI arXiv
Cai, Cheng; De Angelis, Tiziano; Palczewski, Jan The American put with finite-time maturity and stochastic interest rate. (English) Zbl 1522.91265 Math. Finance 32, No. 4, 1170-1213 (2022). MSC: 91G20 60G40 91G30 35R35 PDFBibTeX XMLCite \textit{C. Cai} et al., Math. Finance 32, No. 4, 1170--1213 (2022; Zbl 1522.91265) Full Text: DOI arXiv OA License
Zhao, Leilei Chang Hao Li Jiaao A defined contribution pension plan with multiple risks under the mean-variance criterion. (Chinese. English summary) Zbl 07710536 Chin. J. Appl. Probab. Stat. 38, No. 6, 847-866 (2022). MSC: 91G10 91G30 49L20 PDFBibTeX XMLCite \textit{L. C. H. L. J. Zhao}, Chin. J. Appl. Probab. Stat. 38, No. 6, 847--866 (2022; Zbl 07710536) Full Text: DOI
Hoencamp, J. H.; de Kort, J. P.; Kandhai, B. D. The impact of stochastic volatility on initial margin and MVA for interest rate derivatives. (English) Zbl 1510.91164 Appl. Math. Finance 29, No. 2, 141-179 (2022). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{J. H. Hoencamp} et al., Appl. Math. Finance 29, No. 2, 141--179 (2022; Zbl 1510.91164) Full Text: DOI
Alshubiri, Faris The impact of the real interest rate, the exchange rate and political stability on foreign direct investment inflows: a comparative analysis of G7 and GCC countries. (English) Zbl 1508.91573 Asia-Pac. Financ. Mark. 29, No. 3, 569-603 (2022). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{F. Alshubiri}, Asia-Pac. Financ. Mark. 29, No. 3, 569--603 (2022; Zbl 1508.91573) Full Text: DOI
Anderl, Christina; Caporale, Guglielmo Maria Testing for UIP-type relationships: nonlinearities, monetary announcements and interest rate expectations. (English) Zbl 1508.91355 Open Econ. Rev. 33, No. 4, 705-749 (2022). MSC: 91B64 91G30 PDFBibTeX XMLCite \textit{C. Anderl} and \textit{G. M. Caporale}, Open Econ. Rev. 33, No. 4, 705--749 (2022; Zbl 1508.91355) Full Text: DOI
Zubchenko, V. P.; Aleksandrova, P. V. Study of the dynamics of the interest rate swap using machine learning methods. (Ukrainian. English summary) Zbl 1513.91090 Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2022, No. 3, 37-41 (2022). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{V. P. Zubchenko} and \textit{P. V. Aleksandrova}, Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2022, No. 3, 37--41 (2022; Zbl 1513.91090) Full Text: DOI
Zhang, Yumo Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate. (English) Zbl 1505.91356 Ann. Finance 18, No. 4, 511-544 (2022). MSC: 91G10 91G30 60H30 PDFBibTeX XMLCite \textit{Y. Zhang}, Ann. Finance 18, No. 4, 511--544 (2022; Zbl 1505.91356) Full Text: DOI
Adão, Luiz F. S.; Silveira, Douglas; Ely, Regis A.; Cajueiro, Daniel O. The impacts of interest rates on banks’ loan portfolio risk-taking. (English) Zbl 1517.91244 J. Econ. Dyn. Control 144, Article ID 104521, 23 p. (2022). MSC: 91G30 91G40 91G45 PDFBibTeX XMLCite \textit{L. F. S. Adão} et al., J. Econ. Dyn. Control 144, Article ID 104521, 23 p. (2022; Zbl 1517.91244) Full Text: DOI
Pasricha, Puneet; Goel, Anubha; Zhu, Song-Ping A closed-form pricing formula for catastrophe equity options. (English) Zbl 1505.91390 Probab. Eng. Inf. Sci. 36, No. 4, 1103-1115 (2022). MSC: 91G20 91G30 91G60 65C05 PDFBibTeX XMLCite \textit{P. Pasricha} et al., Probab. Eng. Inf. Sci. 36, No. 4, 1103--1115 (2022; Zbl 1505.91390) Full Text: DOI
Rakhmonov, Parviz; Rakhmonov, Firuz CMS spread options in quadratic Gaussian model. (English) Zbl 1501.91168 Rev. Deriv. Res. 25, No. 3, 283-291 (2022). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{P. Rakhmonov} and \textit{F. Rakhmonov}, Rev. Deriv. Res. 25, No. 3, 283--291 (2022; Zbl 1501.91168) Full Text: DOI
Udoye, Adaobi M.; Ekhaguere, Godwin O. S. Sensitivity analysis of a class of interest rate derivatives in a variance gamma Lévy market. (English) Zbl 1505.60059 Palest. J. Math. 11, No. 2, 159-176 (2022). MSC: 60H07 91G30 60H30 PDFBibTeX XMLCite \textit{A. M. Udoye} and \textit{G. O. S. Ekhaguere}, Palest. J. Math. 11, No. 2, 159--176 (2022; Zbl 1505.60059) Full Text: Link
Murota, Ryu-ichiro The effect of a decline in the world real interest rate on a small open economy experiencing persistent stagnation. (English) Zbl 1493.91134 Econ. Lett. 216, Article ID 110588, 5 p. (2022). MSC: 91G30 PDFBibTeX XMLCite \textit{R.-i. Murota}, Econ. Lett. 216, Article ID 110588, 5 p. (2022; Zbl 1493.91134) Full Text: DOI
Binder, Andreas; Jadhav, Onkar; Mehrmann, Volker Error analysis of a model order reduction framework for financial risk analysis. (English) Zbl 1492.35355 ETNA, Electron. Trans. Numer. Anal. 55, 469-507 (2022). MSC: 35Q91 35L10 65M60 91G30 91G60 91G80 PDFBibTeX XMLCite \textit{A. Binder} et al., ETNA, Electron. Trans. Numer. Anal. 55, 469--507 (2022; Zbl 1492.35355) Full Text: DOI arXiv Link
Lütkebohmert, Eva; Schmidt, Thorsten; Zhu, Tianjiao Optimal cross-currency mortgage decisions. (English) Zbl 1496.91095 Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250010, 31 p. (2022). MSC: 91G30 PDFBibTeX XMLCite \textit{E. Lütkebohmert} et al., Int. J. Theor. Appl. Finance 25, No. 3, Article ID 2250010, 31 p. (2022; Zbl 1496.91095) Full Text: DOI
Chakraborty, Prakash; Lee, Kiseop Bond prices under information asymmetry and a short rate with instantaneous feedback. (English) Zbl 1489.91256 Methodol. Comput. Appl. Probab. 24, No. 2, 613-634 (2022). MSC: 91G20 91G30 60H30 PDFBibTeX XMLCite \textit{P. Chakraborty} and \textit{K. Lee}, Methodol. Comput. Appl. Probab. 24, No. 2, 613--634 (2022; Zbl 1489.91256) Full Text: DOI
Adam, Alexandre; Cherrat, Hamza; Houkari, Mohamed; Laurent, Jean-Paul; Prigent, Jean-Luc On the risk management of demand deposits: quadratic hedging of interest rate margins. (English) Zbl 1492.91391 Ann. Oper. Res. 313, No. 2, 1319-1355 (2022). MSC: 91G30 PDFBibTeX XMLCite \textit{A. Adam} et al., Ann. Oper. Res. 313, No. 2, 1319--1355 (2022; Zbl 1492.91391) Full Text: DOI
Gubareva, Mariya; Borges, Maria Rosa Governed by the cycle: interest rate sensitivity of emerging market corporate debt. (English) Zbl 1494.91167 Ann. Oper. Res. 313, No. 2, 991-1019 (2022). MSC: 91G30 91G40 PDFBibTeX XMLCite \textit{M. Gubareva} and \textit{M. R. Borges}, Ann. Oper. Res. 313, No. 2, 991--1019 (2022; Zbl 1494.91167) Full Text: DOI
Lorig, Matthew; Suaysom, Natchanon Options on bonds: implied volatilities from affine short-rate dynamics. (English) Zbl 1492.91382 Ann. Finance 18, No. 2, 183-216 (2022). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{M. Lorig} and \textit{N. Suaysom}, Ann. Finance 18, No. 2, 183--216 (2022; Zbl 1492.91382) Full Text: DOI arXiv
Bishwal, Jaya P. N. Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates. (English) Zbl 1492.91392 Monte Carlo Methods Appl. 28, No. 2, 111-124 (2022). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{J. P. N. Bishwal}, Monte Carlo Methods Appl. 28, No. 2, 111--124 (2022; Zbl 1492.91392) Full Text: DOI
Akahori, Jirô; Macrina, Andrea Heat kernel interest rate models with time-inhomogeneous Markov processes. (English) Zbl 1489.91274 Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 179-193 (2022). MSC: 91G30 35K08 60G51 PDFBibTeX XMLCite \textit{J. Akahori} and \textit{A. Macrina}, in: Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 179--193 (2022; Zbl 1489.91274) Full Text: DOI arXiv
Park, Eunchae; Lyu, Jisang; Kim, Sangkwon; Lee, Chaeyoung; Lee, Wonjin; Choi, Yongho; Kwak, Soobin; Yoo, Changwoo; Hwang, Hyeongseok; Kim, Junseok Calibration of the temporally varying volatility and interest rate functions. (English) Zbl 1496.91091 Int. J. Comput. Math. 99, No. 5, 1066-1079 (2022). MSC: 91G20 91G30 35Q91 PDFBibTeX XMLCite \textit{E. Park} et al., Int. J. Comput. Math. 99, No. 5, 1066--1079 (2022; Zbl 1496.91091) Full Text: DOI
Roslan, Teh Raihana Nazirah; Karim, Sharmila; Ibrahim, Siti Zulaiha; Jameel, Ali Fareed; Yahya, Zainor Ridzuan Stochastic pricing formulation for hybrid equity warrants. (English) Zbl 1485.91231 AIMS Math. 7, No. 1, 398-424 (2022). MSC: 91G20 91B70 91G30 PDFBibTeX XMLCite \textit{T. R. N. Roslan} et al., AIMS Math. 7, No. 1, 398--424 (2022; Zbl 1485.91231) Full Text: DOI
Li, Shuang; Peng, Cheng; Bao, Ying; Zhao, Yan-long; Cao, Zhen Analytical expressions to counterparty credit risk exposures for interest rate derivatives. (English) Zbl 1486.91086 Acta Math. Appl. Sin., Engl. Ser. 38, No. 2, 254-270 (2022). MSC: 91G40 91G20 91G30 PDFBibTeX XMLCite \textit{S. Li} et al., Acta Math. Appl. Sin., Engl. Ser. 38, No. 2, 254--270 (2022; Zbl 1486.91086) Full Text: DOI
Hata, Hiroaki; Sun, Li-Hsien Optimal investment and reinsurance of insurers with lognormal stochastic factor model. (English) Zbl 1486.91074 Math. Control Relat. Fields 12, No. 2, 531-566 (2022). MSC: 91G05 93E20 91G30 PDFBibTeX XMLCite \textit{H. Hata} and \textit{L.-H. Sun}, Math. Control Relat. Fields 12, No. 2, 531--566 (2022; Zbl 1486.91074) Full Text: DOI
Zhu, Yuanpeng; Chen, Zhenbiao; Han, Xuli \(C^2\) tension splines construction based on a class of sixth-order ordinary differential equations. (English) Zbl 1483.65027 Bull. Iran. Math. Soc. 48, No. 1, 127-150 (2022). MSC: 65D07 65D17 91G30 PDFBibTeX XMLCite \textit{Y. Zhu} et al., Bull. Iran. Math. Soc. 48, No. 1, 127--150 (2022; Zbl 1483.65027) Full Text: DOI
Privault, Nicolas Stochastic interest rate modeling with fixed income derivative pricing. 3rd edition. (English) Zbl 1496.91001 Advanced Series on Statistical Science & Applied Probability 22. Singapore: World Scientific (ISBN 978-981-12-2660-1/hbk; 978-981-12-2662-5/ebook). xvii, 354 p. (2022). MSC: 91-01 91G30 91G20 60H05 60H30 62P05 PDFBibTeX XMLCite \textit{N. Privault}, Stochastic interest rate modeling with fixed income derivative pricing. 3rd edition. Singapore: World Scientific (2022; Zbl 1496.91001) Full Text: DOI
Cordoni, Francesco; Di Persio, Luca Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate. (English) Zbl 1499.91168 Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 47-57 (2021). MSC: 91G60 60H15 62H30 91G30 PDFBibTeX XMLCite \textit{F. Cordoni} and \textit{L. Di Persio}, Springer Proc. Math. Stat. 378, 47--57 (2021; Zbl 1499.91168) Full Text: DOI
Kartono, Agus; Solekha, Siti; Sumaryada, Tony; Irmansyah Foreign currency exchange rate prediction using non-linear Schrödinger equations with economic fundamental parameters. (English) Zbl 1498.91470 Chaos Solitons Fractals 152, Article ID 111320, 10 p. (2021). MSC: 91G30 91B64 35Q55 PDFBibTeX XMLCite \textit{A. Kartono} et al., Chaos Solitons Fractals 152, Article ID 111320, 10 p. (2021; Zbl 1498.91470) Full Text: DOI
Battulga, G.; Altangerel, L.; Battur, G. Loan interest rate Nash models with solvency constraints in the banking sector. (English) Zbl 1493.91131 Optim. Methods Softw. 36, No. 5, 891-908 (2021). MSC: 91G30 91G45 PDFBibTeX XMLCite \textit{G. Battulga} et al., Optim. Methods Softw. 36, No. 5, 891--908 (2021; Zbl 1493.91131) Full Text: DOI
Mohamadinejad, R.; Neisy, A.; Biazar, J. ADI method of credit spread option pricing based on jump-diffusion model. (English) Zbl 1484.91486 Iran. J. Numer. Anal. Optim. 11, No. 1, 195-210 (2021). MSC: 91G20 91G30 91G60 PDFBibTeX XMLCite \textit{R. Mohamadinejad} et al., Iran. J. Numer. Anal. Optim. 11, No. 1, 195--210 (2021; Zbl 1484.91486) Full Text: DOI
Mavroeidis, Sophocles Identification at the zero lower bound. (English) Zbl 1485.91234 Econometrica 89, No. 6, 2855-2885 (2021). MSC: 91G30 91B64 PDFBibTeX XMLCite \textit{S. Mavroeidis}, Econometrica 89, No. 6, 2855--2885 (2021; Zbl 1485.91234) Full Text: DOI
Atıcı, Ferhan Merdivenci; Bennett, William R. A study on discrete Ponzi scheme model through Sturm-Liouville theory. (English) Zbl 1482.39023 Int. J. Dyn. Syst. Differ. Equ. 11, No. 3-4, 227-240 (2021). MSC: 39A60 39A27 39A12 34B24 91G30 PDFBibTeX XMLCite \textit{F. M. Atıcı} and \textit{W. R. Bennett}, Int. J. Dyn. Syst. Differ. Equ. 11, No. 3--4, 227--240 (2021; Zbl 1482.39023) Full Text: DOI
Gümbel, Sandrine; Schmidt, Thorsten Defaultable term structures driven by semimartingales. (English) Zbl 1492.91397 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150032, 27 p. (2021). Reviewer: Stefan Tappe (Freiburg) MSC: 91G30 91G40 60G48 PDFBibTeX XMLCite \textit{S. Gümbel} and \textit{T. Schmidt}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150032, 27 p. (2021; Zbl 1492.91397) Full Text: DOI arXiv
Nguyen, The Anh; Seifried, Frank Thomas The affine rational potential model. (English) Zbl 1491.91153 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150031, 25 p. (2021). Reviewer: Iulian Stoleriu (Iaşi) MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{T. A. Nguyen} and \textit{F. T. Seifried}, Int. J. Theor. Appl. Finance 24, No. 6--7, Article ID 2150031, 25 p. (2021; Zbl 1491.91153) Full Text: DOI
Peszat, Szymon; Zawisza, Dariusz The investor problem based on the HJM model. (English) Zbl 1492.91337 Ann. Pol. Math. 127, No. 3, 241-269 (2021). MSC: 91G10 91G30 93E20 PDFBibTeX XMLCite \textit{S. Peszat} and \textit{D. Zawisza}, Ann. Pol. Math. 127, No. 3, 241--269 (2021; Zbl 1492.91337) Full Text: DOI arXiv
Song, Yuping; Li, Hangyan; Fang, Yetong Efficient estimation for the volatility of stochastic interest rate models. (English) Zbl 1477.62304 Stat. Pap. 62, No. 4, 1939-1964 (2021). MSC: 62P05 62G07 62G20 62M10 60J60 91G30 PDFBibTeX XMLCite \textit{Y. Song} et al., Stat. Pap. 62, No. 4, 1939--1964 (2021; Zbl 1477.62304) Full Text: DOI
Indriawan, Ivan; Jiao, Feng; Tse, Yiuman The SOFR and the Fed’s influence over market interest rates. (English) Zbl 1479.91421 Econ. Lett. 209, Article ID 110095, 6 p. (2021). MSC: 91G30 91B64 PDFBibTeX XMLCite \textit{I. Indriawan} et al., Econ. Lett. 209, Article ID 110095, 6 p. (2021; Zbl 1479.91421) Full Text: DOI
Rao, Ruofeng; Zhong, Shouming Input-to-state stability and no-inputs stabilization of delayed feedback chaotic financial system involved in open and closed economy. (English) Zbl 1479.91382 Discrete Contin. Dyn. Syst., Ser. S 14, No. 4, 1375-1393 (2021). MSC: 91G15 91G30 93D25 93B52 93C27 34K23 35Q91 PDFBibTeX XMLCite \textit{R. Rao} and \textit{S. Zhong}, Discrete Contin. Dyn. Syst., Ser. S 14, No. 4, 1375--1393 (2021; Zbl 1479.91382) Full Text: DOI
Pfeiffer, Philipp; Roeger, Werner; Vogel, Lukas Optimal fiscal policy with low interest rates for government debt. (English) Zbl 1478.91124 J. Econ. Dyn. Control 132, Article ID 104210, 17 p. (2021). MSC: 91B64 91G30 PDFBibTeX XMLCite \textit{P. Pfeiffer} et al., J. Econ. Dyn. Control 132, Article ID 104210, 17 p. (2021; Zbl 1478.91124) Full Text: DOI
Papetti, Andrea Demographics and the natural real interest rate: historical and projected paths for the Euro Area. (English) Zbl 1478.91178 J. Econ. Dyn. Control 132, Article ID 104209, 29 p. (2021). MSC: 91G30 91D20 PDFBibTeX XMLCite \textit{A. Papetti}, J. Econ. Dyn. Control 132, Article ID 104209, 29 p. (2021; Zbl 1478.91178) Full Text: DOI Link
Shinozaki, Yuji Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme. (English) Zbl 1479.91447 Quant. Finance 21, No. 7, 1147-1161 (2021). MSC: 91G60 65M99 91G20 91G30 PDFBibTeX XMLCite \textit{Y. Shinozaki}, Quant. Finance 21, No. 7, 1147--1161 (2021; Zbl 1479.91447) Full Text: DOI
Gudkov, Nikolay; Ziveyi, Jonathan Application of power series approximation techniques to valuation of European style options. (English) Zbl 1477.91054 Quant. Finance 21, No. 4, 609-635 (2021). MSC: 91G20 91G30 42A38 PDFBibTeX XMLCite \textit{N. Gudkov} and \textit{J. Ziveyi}, Quant. Finance 21, No. 4, 609--635 (2021; Zbl 1477.91054) Full Text: DOI
Orlando, Giuseppe; Bufalo, Michele Interest rates forecasting: between hull and white and the CIR# – how to make a single-factor model work. (English) Zbl 1476.62226 J. Forecast. 40, No. 8, 1566-1580 (2021). MSC: 62P05 62M20 91G30 91B84 PDFBibTeX XMLCite \textit{G. Orlando} and \textit{M. Bufalo}, J. Forecast. 40, No. 8, 1566--1580 (2021; Zbl 1476.62226) Full Text: DOI
Seibert, Armin; Sirchenko, Andrei; Müller, Gernot A model for policy interest rates. (English) Zbl 1475.91380 J. Econ. Dyn. Control 124, Article ID 104049, 18 p. (2021). MSC: 91G30 91B64 PDFBibTeX XMLCite \textit{A. Seibert} et al., J. Econ. Dyn. Control 124, Article ID 104049, 18 p. (2021; Zbl 1475.91380) Full Text: DOI
Zhang, Tongbin Stock prices and the risk-free rate: an internal rationality approach. (English) Zbl 1475.91346 J. Econ. Dyn. Control 127, Article ID 104103, 23 p. (2021). MSC: 91G15 91G30 PDFBibTeX XMLCite \textit{T. Zhang}, J. Econ. Dyn. Control 127, Article ID 104103, 23 p. (2021; Zbl 1475.91346) Full Text: DOI
Palapies, Lars On the variance and skewness of the swap rate in a stochastic volatility interest rate model. (English) Zbl 1488.91149 S. Afr. Stat. J. 55, No. 2, 109-123 (2021). MSC: 91G30 91G20 60H30 PDFBibTeX XMLCite \textit{L. Palapies}, S. Afr. Stat. J. 55, No. 2, 109--123 (2021; Zbl 1488.91149) Full Text: DOI
Jiang, Feifan; Fan, Longzhen A model of short-term interest rate under interest rate corridor. (Chinese. English summary) Zbl 1488.91147 J. Fudan Univ., Nat. Sci. 60, No. 2, 133-144, 156 (2021). MSC: 91G30 PDFBibTeX XMLCite \textit{F. Jiang} and \textit{L. Fan}, J. Fudan Univ., Nat. Sci. 60, No. 2, 133--144, 156 (2021; Zbl 1488.91147)
Dong, Yan The latent variable Metropolis-Hastings algorithm for exchange rate series in case of missing data and pricing the triggered financial products. (Chinese. English summary) Zbl 1488.62182 Chin. J. Eng. Math. 38, No. 3, 330-342 (2021). MSC: 62P05 62D10 62F15 91B84 91G30 PDFBibTeX XMLCite \textit{Y. Dong}, Chin. J. Eng. Math. 38, No. 3, 330--342 (2021; Zbl 1488.62182) Full Text: DOI
Tee, Chyng Wen; Kerkhof, Jeroen A unified market model for swaptions and constant maturity swaps. (English) Zbl 1470.91288 Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150026, 31 p. (2021). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{C. W. Tee} and \textit{J. Kerkhof}, Int. J. Theor. Appl. Finance 24, No. 4, Article ID 2150026, 31 p. (2021; Zbl 1470.91288) Full Text: DOI
Barski, Michał; Zabczyk, Jerzy A note on generalized CIR equations. (English) Zbl 1492.60158 Commun. Inf. Syst. 21, No. 2, 209-218 (2021). MSC: 60H10 60G51 91G30 PDFBibTeX XMLCite \textit{M. Barski} and \textit{J. Zabczyk}, Commun. Inf. Syst. 21, No. 2, 209--218 (2021; Zbl 1492.60158) Full Text: DOI
Dunaev, B. B. Banking regulation of macroeconomic processes. (English. Russian original) Zbl 1470.91312 Cybern. Syst. Anal. 57, No. 1, 108-123 (2021); translation from Kibern. Sist. Anal. 57, No. 1, 123-141 (2021). MSC: 91G45 91B64 91G30 PDFBibTeX XMLCite \textit{B. B. Dunaev}, Cybern. Syst. Anal. 57, No. 1, 108--123 (2021; Zbl 1470.91312); translation from Kibern. Sist. Anal. 57, No. 1, 123--141 (2021) Full Text: DOI
Liu, Zhe; Yang, Ying Barrier swaption pricing problem in uncertain financial market. (English) Zbl 1470.91283 Math. Methods Appl. Sci. 44, No. 1, 568-582 (2021). MSC: 91G20 91G30 60G99 PDFBibTeX XMLCite \textit{Z. Liu} and \textit{Y. Yang}, Math. Methods Appl. Sci. 44, No. 1, 568--582 (2021; Zbl 1470.91283) Full Text: DOI
Zhang, Shao-Qin; Yuan, Chenggui Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation. (English) Zbl 1507.60090 Proc. R. Soc. Edinb., Sect. A, Math. 151, No. 4, 1278-1304 (2021). MSC: 60H35 60H10 PDFBibTeX XMLCite \textit{S.-Q. Zhang} and \textit{C. Yuan}, Proc. R. Soc. Edinb., Sect. A, Math. 151, No. 4, 1278--1304 (2021; Zbl 1507.60090) Full Text: DOI arXiv Link
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume Multiple yield curve modelling with CBI processes. (English) Zbl 1471.91588 Math. Financ. Econ. 15, No. 3, 579-610 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G30 91G20 60G51 60J85 PDFBibTeX XMLCite \textit{C. Fontana} et al., Math. Financ. Econ. 15, No. 3, 579--610 (2021; Zbl 1471.91588) Full Text: DOI arXiv
Bouzianis, George; Hughston, Lane P.; Jaimungal, Sebastian; Sánchez-Betancourt, Leandro Lévy-Ito models in finance. (English) Zbl 1480.91286 Probab. Surv. 18, 132-178 (2021). MSC: 91G20 60H30 60G51 PDFBibTeX XMLCite \textit{G. Bouzianis} et al., Probab. Surv. 18, 132--178 (2021; Zbl 1480.91286) Full Text: DOI arXiv
Chen, Yufeng; Zhu, Zhitao; Qu, Fang Asymmetric spillover effect and dynamic correlation between crude oil, RMB exchange rate and Chinese gold price: based on VAR-asymmetric BEKK (DCC)-GARCH (1, 1) model. (Chinese. English summary) Zbl 1474.91222 J. Syst. Sci. Math. Sci. 41, No. 2, 449-465 (2021). MSC: 91G30 91B24 62P05 62M10 PDFBibTeX XMLCite \textit{Y. Chen} et al., J. Syst. Sci. Math. Sci. 41, No. 2, 449--465 (2021; Zbl 1474.91222)
Chatziantoniou, Ioannis; Gabauer, David; Stenfors, Alexis Interest rate swaps and the transmission mechanism of monetary policy: a quantile connectedness approach. (English) Zbl 1467.91181 Econ. Lett. 204, Article ID 109891, 4 p. (2021). MSC: 91G20 91G30 91B64 62P05 PDFBibTeX XMLCite \textit{I. Chatziantoniou} et al., Econ. Lett. 204, Article ID 109891, 4 p. (2021; Zbl 1467.91181) Full Text: DOI Link
Zhang, Lidong; Sun, Yanmei; Du, Ziping; Meng, Xiangbo Uncertain strike lookback options pricing with floating interest rate. (English) Zbl 1467.91192 Rev. Deriv. Res. 24, No. 1, 79-94 (2021). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{L. Zhang} et al., Rev. Deriv. Res. 24, No. 1, 79--94 (2021; Zbl 1467.91192) Full Text: DOI
Sharma, Nitu; Pasricha, Puneet; Selvamuthu, Dharmaraja Valuation of equity-indexed annuities under correlated jump-diffusion processes. (English) Zbl 1471.91481 J. Comput. Appl. Math. 395, Article ID 113575, 14 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G05 91G30 60J76 PDFBibTeX XMLCite \textit{N. Sharma} et al., J. Comput. Appl. Math. 395, Article ID 113575, 14 p. (2021; Zbl 1471.91481) Full Text: DOI
Stege, Nikolas; Wegener, Christoph; Basse, Tobias; Kunze, Frederik Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises. (English) Zbl 1461.91342 Ann. Oper. Res. 297, No. 1-2, 309-321 (2021). MSC: 91G45 91G30 PDFBibTeX XMLCite \textit{N. Stege} et al., Ann. Oper. Res. 297, No. 1--2, 309--321 (2021; Zbl 1461.91342) Full Text: DOI
Yang, Yu; Liu, Shican; Wu, Yonghong; Wiwatanapataphee, Benchawan Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion. (English) Zbl 1471.91586 J. Comput. Appl. Math. 393, Article ID 113277, 25 p. (2021). MSC: 91G20 91G30 91G60 60J70 PDFBibTeX XMLCite \textit{Y. Yang} et al., J. Comput. Appl. Math. 393, Article ID 113277, 25 p. (2021; Zbl 1471.91586) Full Text: DOI
López, Oscar; Oleaga, Gerardo; Sánchez, Alejandra Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment. (English) Zbl 1508.91582 Appl. Math. Comput. 395, Article ID 125854, 14 p. (2021). MSC: 91G30 60H30 PDFBibTeX XMLCite \textit{O. López} et al., Appl. Math. Comput. 395, Article ID 125854, 14 p. (2021; Zbl 1508.91582) Full Text: DOI
Luderer, Bernd Classical financial mathematics. Basic ideas, central formulas and terms at a glance. (English) Zbl 1470.91002 Essentials. Wiesbaden: Springer (ISBN 978-3-658-32037-9/pbk; 978-3-658-32038-6/ebook). ix, 51 p. (2021). Reviewer: Weiping Li (Stillwater) MSC: 91-01 91G30 91G40 PDFBibTeX XMLCite \textit{B. Luderer}, Classical financial mathematics. Basic ideas, central formulas and terms at a glance. Wiesbaden: Springer (2021; Zbl 1470.91002) Full Text: DOI
Lee, Cheng Few Bond portfolio management, swap strategy, duration, and convexity. (English) Zbl 1454.91225 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059-3098 (2021). MSC: 91G10 91G20 91G30 PDFBibTeX XMLCite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059--3098 (2021; Zbl 1454.91225) Full Text: DOI
Juneja, Januj Dynamic term structure models using principal components analysis near the zero lower bound. (English) Zbl 1454.91316 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2199-2250 (2021). MSC: 91G30 62P05 62H25 PDFBibTeX XMLCite \textit{J. Juneja}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2199--2250 (2021; Zbl 1454.91316) Full Text: DOI
Emmanuel, Coffie; Mao, Xuerong Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay. (English) Zbl 1448.62146 J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021). MSC: 62P05 62M10 91G30 62-08 PDFBibTeX XMLCite \textit{C. Emmanuel} and \textit{X. Mao}, J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021; Zbl 1448.62146) Full Text: DOI Link
Mohamadinejad, R.; Biazar, J.; Neisy, A. Spread option pricing using two jump-diffusion interest rates. (English) Zbl 1513.91087 Sci. Bull., Ser. A, Appl. Math. Phys., Politeh. Univ. Buchar. 82, No. 1, 171-182 (2020). MSC: 91G20 91G30 45K05 60J74 PDFBibTeX XMLCite \textit{R. Mohamadinejad} et al., Sci. Bull., Ser. A, Appl. Math. Phys., Politeh. Univ. Buchar. 82, No. 1, 171--182 (2020; Zbl 1513.91087)
Rao, Ruofeng; Zhong, Shouming Impulsive control on delayed feedback chaotic financial system with Markovian jumping. (English) Zbl 1487.93018 Adv. Difference Equ. 2020, Paper No. 50, 18 p. (2020). MSC: 93C10 93C15 91G30 PDFBibTeX XMLCite \textit{R. Rao} and \textit{S. Zhong}, Adv. Difference Equ. 2020, Paper No. 50, 18 p. (2020; Zbl 1487.93018) Full Text: DOI
Zhao, Qian; Li, Peng; Zhang, Jie Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes. (English) Zbl 1511.91121 Commun. Stat., Theory Methods 49, No. 14, 3421-3437 (2020). MSC: 91G05 60G51 60H30 91G30 PDFBibTeX XMLCite \textit{Q. Zhao} et al., Commun. Stat., Theory Methods 49, No. 14, 3421--3437 (2020; Zbl 1511.91121) Full Text: DOI
Sheraz, Muhammad; Preda, Vasile; Dedu, Silvia Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling. (English) Zbl 1485.91235 AIMS Math. 5, No. 1, 300-310 (2020). MSC: 91G30 60G42 60K15 94A17 PDFBibTeX XMLCite \textit{M. Sheraz} et al., AIMS Math. 5, No. 1, 300--310 (2020; Zbl 1485.91235) Full Text: DOI
Huang, Zhehao; Miao, Yingting; Wang, Zhenzhen Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate. (English) Zbl 1484.91500 AIMS Math. 5, No. 6, 7746-7775 (2020). MSC: 91G40 35Q91 35R35 91G30 PDFBibTeX XMLCite \textit{Z. Huang} et al., AIMS Math. 5, No. 6, 7746--7775 (2020; Zbl 1484.91500) Full Text: DOI
Zhang, Sumei; Zhang, Jianke Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate. (English) Zbl 1483.91259 Int. J. Comput. Math. 97, No. 3, 546-563 (2020). MSC: 91G60 65D20 91G20 91G30 PDFBibTeX XMLCite \textit{S. Zhang} and \textit{J. Zhang}, Int. J. Comput. Math. 97, No. 3, 546--563 (2020; Zbl 1483.91259) Full Text: DOI
Stehlíková, Beáta On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation. (English) Zbl 1479.91418 Math. Slovaca 70, No. 4, 995-1002 (2020). MSC: 91G20 91G30 35Q91 41A58 PDFBibTeX XMLCite \textit{B. Stehlíková}, Math. Slovaca 70, No. 4, 995--1002 (2020; Zbl 1479.91418) Full Text: DOI