The Q-Measure Dynamics of Forward Rates
R Rebonato - Annual Review of Financial Economics, 2023 - annualreviews.org
I review how the theoretical modeling of the dynamics of forward rates in the context of
derivatives pricing has evolved over time. I review the theoretical developments from the …
derivatives pricing has evolved over time. I review the theoretical developments from the …
A tractable interest rate model with explicit monetary policy rates
JP Renne - European Journal of Operational Research, 2016 - Elsevier
This paper proposes a novel interest rate model that presents simple analytical pricing
formulas for interest rate-based derivatives, including swaps, futures, swaptions, caps and …
formulas for interest rate-based derivatives, including swaps, futures, swaptions, caps and …
Locality in time of the European insurance regulation" risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments
F Borel-Mathurin, N El Karoui, S Loisel, J Vedani - 2020 - hal.science
The so-called market-consistency of the European life insurance valuation as shaped by
regulation guidelines embeds numerous theoretical and practical misstatements. Since El …
regulation guidelines embeds numerous theoretical and practical misstatements. Since El …