Stochastic interest rates under rational inattention

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2020.101258 ◽

2020 ◽

Vol 54 ◽

pp. 101258

Author(s):

Yuhua Zhang ◽

Yingjie Niu ◽

Ting Wu

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Rational Inattention ◽

Stochastic Interest

Download Full-text

Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

10.1007/978-3-642-17041-6 ◽

2004 ◽

Author(s):

Holger Kraft

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Optimal Portfolios ◽

Stochastic Interest

Download Full-text

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

SSRN Electronic Journal ◽

10.2139/ssrn.1283186 ◽

2008 ◽

Author(s):

Francois Quittard-Pinon ◽

Rivo A Randrianarivony

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest

Download Full-text

A Note on Exchange Options Under Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.1626020 ◽

2010 ◽

Author(s):

Carole Bernard ◽

Zhenyu Cui

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Exchange Options

Download Full-text

Dynamic Model of Pension Savings Management with Stochastic Interest Rates and Stock Returns

SSRN Electronic Journal ◽

10.2139/ssrn.1635879 ◽

2010 ◽

Author(s):

Igor Melichercik ◽

Daniel Sevcovic

Keyword(s):

Interest Rates ◽

Stock Returns ◽

Dynamic Model ◽

Stochastic Interest Rates ◽

Stochastic Interest

Download Full-text

A Hybrid Model for Equity Indices and Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.2173273 ◽

2012 ◽

Author(s):

Jan F. Baldeaux ◽

Man Chung Fung ◽

Katja Ignatieva ◽

Eckhard Platen

Keyword(s):

Interest Rates ◽

Hybrid Model ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Download Full-text

Dynamic Asset Allocation Under VAR Constraint with Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.2324172 ◽

2008 ◽

Author(s):

Donatien Hainaut

Keyword(s):

Interest Rates ◽

Asset Allocation ◽

Stochastic Interest Rates ◽

Dynamic Asset Allocation ◽

Stochastic Interest

Download Full-text

Revisiting the Classical Models: Black-Scholes and Heston With Stochastic Interest Rates and Term Structure of Volatilities

SSRN Electronic Journal ◽

10.2139/ssrn.3192823 ◽

2018 ◽

Author(s):

Alberto Bueno-Guerrero

Keyword(s):

Interest Rates ◽

Term Structure ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Black Scholes ◽

Classical Models

Download Full-text

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Review of Finance ◽

10.1023/a:1009860926279 ◽

1999 ◽

Vol 3 (3) ◽

pp. 273-310 ◽

Author(s):

George J. Jiang ◽

Pieter J. van der Sluis

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Volatility ◽

Pricing Models ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Download Full-text

Efficient procedures for the valuation and hedging of American currency options with stochastic interest rates

Journal of Multinational Financial Management ◽

10.1016/s1042-444x(01)00028-7 ◽

2001 ◽

Vol 11 (3) ◽

pp. 241-268

Author(s):

Chuang-Chang Chang

Keyword(s):

Interest Rates ◽

Currency Options ◽

Stochastic Interest Rates ◽

Stochastic Interest

Download Full-text

Loan guarantee portfolios and joint loan guarantees with stochastic interest rates

The Quarterly Review of Economics and Finance ◽

10.1016/j.qref.2003.07.004 ◽

2006 ◽

Vol 46 (1) ◽

pp. 16-35 ◽

Author(s):

Chuang-Chang Chang ◽

San-Lin Chung ◽

Min-Teh Yu

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Loan Guarantee ◽

Stochastic Interest ◽

Loan Guarantees

Download Full-text