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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), 27-51.
doi: 10.1098/rspa.2003.1234. |
| [2] |
F. Black and M. Scholes, The pricing of options and corporate liabilities, J. Political Econ., 81 (1973), 637-654.
doi: 10.1086/260062. |
| [3] |
D. Brigo and F. Mercurio, Interest Rate Models Theory and Practice, Springer, Berlin, 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), 470-493.
doi: 10.1137/0331022. |
| [5] |
A. Friedman, Stochastic Differential Equations, Vol 1 & 2, Academic Press, New York, 1975. |
| [6] |
S. D. Hodges and A. Neuberger, Optimal replication of contingent claims under transaction costs, Review of Futures Markets, 8 (1989), 222-239. |
| [7] |
J. Hull and A. White, Pricing interest-rate derivative securities, The Review of Financial Studies, 3 (1990), 573-592.
doi: 10.1093/rfs/3.4.573. |
| [8] |
L. Jiang, Mathematical Modeling and Methods of Option Pricing, World Scientific Publishing, Singapore, 2005.
doi: 10.1142/5855. |
| [9] |
J. Kallsen, Utility-based derivative pricing in incomplete markets, Mathematical Finance-Bachelier Congress 2000, H. Geman, D. Madan, S. R. Pliska, T. Vorst (Eds.), Springer, Berlin, 2002, 313-338. |
| [10] |
Z. Kang and S. Stojanovic, Interest rate risk premium and equity valuation, Journal of Systems Science and Complexity, 23 (2010), 484-498.
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), 147-170.
doi: 10.1093/imaman/dpr004. |
| [12] |
R. C. Merton, Theory of rational option pricing, Bell Journal of Economics and Management Science, 4 (1973), 141-183.
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), 229-239.
doi: 10.1007/s00780-003-0112-5. |
| [15] |
R. Rouge and N. El Karoui, Pricing via utility maximization and entropy, Mathematical Finance, 10 (2000), 259-276.
doi: 10.1111/1467-9965.00093. |
| [16] |
S. Stojanovic, Computational Financial Mathematics using MATHEMATICA®, Birkhauser, Boston, 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), 551-556.
doi: 10.1016/j.crma.2004.11.002. |
| [18] |
S. Stojanovic, Stochastic Volatility & Risk Premium, Lecture Notes, GARP, New York, 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), 345-372. |
| [20] |
S. Stojanovic, Advanced Financial Engineering for Interest Rates, Equity, and FX, Lecture Notes, GARP, New York, 2007. |
| [21] |
S. Stojanovic, Any-utility neutral and indifference pricing and hedging, Risk and Decision Analysis, 4 (2013), 103-118. |
| [22] |
S. Stojanovic, Neutral and Indifference Portfolio Pricing, Hedging and Investing, Springer, New York, 2011. |
| [23] |
O. Vasicek, An equilibrium characterization of the term structure, Journal of Financial Economics, 5 (1977), 177-188.
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), 27-51.
doi: 10.1098/rspa.2003.1234. |
| [2] |
F. Black and M. Scholes, The pricing of options and corporate liabilities, J. Political Econ., 81 (1973), 637-654.
doi: 10.1086/260062. |
| [3] |
D. Brigo and F. Mercurio, Interest Rate Models Theory and Practice, Springer, Berlin, 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), 470-493.
doi: 10.1137/0331022. |
| [5] |
A. Friedman, Stochastic Differential Equations, Vol 1 & 2, Academic Press, New York, 1975. |
| [6] |
S. D. Hodges and A. Neuberger, Optimal replication of contingent claims under transaction costs, Review of Futures Markets, 8 (1989), 222-239. |
| [7] |
J. Hull and A. White, Pricing interest-rate derivative securities, The Review of Financial Studies, 3 (1990), 573-592.
doi: 10.1093/rfs/3.4.573. |
| [8] |
L. Jiang, Mathematical Modeling and Methods of Option Pricing, World Scientific Publishing, Singapore, 2005.
doi: 10.1142/5855. |
| [9] |
J. Kallsen, Utility-based derivative pricing in incomplete markets, Mathematical Finance-Bachelier Congress 2000, H. Geman, D. Madan, S. R. Pliska, T. Vorst (Eds.), Springer, Berlin, 2002, 313-338. |
| [10] |
Z. Kang and S. Stojanovic, Interest rate risk premium and equity valuation, Journal of Systems Science and Complexity, 23 (2010), 484-498.
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), 147-170.
doi: 10.1093/imaman/dpr004. |
| [12] |
R. C. Merton, Theory of rational option pricing, Bell Journal of Economics and Management Science, 4 (1973), 141-183.
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), 229-239.
doi: 10.1007/s00780-003-0112-5. |
| [15] |
R. Rouge and N. El Karoui, Pricing via utility maximization and entropy, Mathematical Finance, 10 (2000), 259-276.
doi: 10.1111/1467-9965.00093. |
| [16] |
S. Stojanovic, Computational Financial Mathematics using MATHEMATICA®, Birkhauser, Boston, 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), 551-556.
doi: 10.1016/j.crma.2004.11.002. |
| [18] |
S. Stojanovic, Stochastic Volatility & Risk Premium, Lecture Notes, GARP, New York, 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), 345-372. |
| [20] |
S. Stojanovic, Advanced Financial Engineering for Interest Rates, Equity, and FX, Lecture Notes, GARP, New York, 2007. |
| [21] |
S. Stojanovic, Any-utility neutral and indifference pricing and hedging, Risk and Decision Analysis, 4 (2013), 103-118. |
| [22] |
S. Stojanovic, Neutral and Indifference Portfolio Pricing, Hedging and Investing, Springer, New York, 2011. |
| [23] |
O. Vasicek, An equilibrium characterization of the term structure, Journal of Financial Economics, 5 (1977), 177-188.
doi: 10.1002/9781119186229.ch6. |
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