Cover Image

Long‐term risk with stochastic interest rates

Fuente: Wiley Open Access

Saved in:

Bibliographic Details
Main Author:	Federico Severino
Format:	Artículo Open Access
Published:	Wiley 2024
Subjects:	Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Optimal risk-aware interest rates for decentralized lending protocols
by: Baude, Bastien, et al.
Published: (2025)

The Volterra Stein-Stein model with stochastic interest rates
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Ultra-short-term volatility surfaces
by: Bandi, Federico M., et al.
Published: (2026)

On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
by: Anagnostakis, Alexis, et al.
Published: (2025)

On the structure of increasing profits in a 1D general diffusion market with interest rates
by: Anagnostakis, Alexis, et al.
Published: (2025)

Explicit local volatility formula for Cheyette-type interest rate models
by: Gairat, Alexander, et al.
Published: (2025)

Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
by: Guan, Guohui, et al.
Published: (2024)

Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiability
by: Flassig, Robert, et al.
Published: (2026)

When risk defies order: On the limits of fractional stochastic dominance
by: Laudagé, Christian, et al.
Published: (2025)

Market information of the fractional stochastic regularity model
by: Angelini, Daniele, et al.
Published: (2024)

The geometry of multi-curve interest rate models
by: Fontana, Claudio, et al.
Published: (2024)

Reference-dependent asset pricing with a stochastic consumption-dividend ratio
by: Aquino, Luca De Gennaro, et al.
Published: (2024)

Asset-liability management with Epstein-Zin utility under stochastic interest rate and unknown market price of risk
by: Kuissi-Kamdem, Wilfried
Published: (2025)

The rough Hawkes Heston stochastic volatility model
by: Alessandro Bondi, et al.
Published: (2024)

An empirical study of market risk factors for Bitcoin
by: Singh, Shubham
Published: (2024)

A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models
by: Sayit, Hasanjan
Published: (2022)

On the implied volatility of Inverse options under stochastic volatility models
by: Alòs, Elisa, et al.
Published: (2023)

On the implied volatility of Asian options under stochastic volatility models
by: Alòs, Elisa, et al.
Published: (2022)

Martingale expansion for stochastic volatility
by: Fukasawa, Masaaki
Published: (2026)

Convex ordering for stochastic control: the (path dependent) swing contracts case
by: Pagès, Gilles, et al.
Published: (2024)

The American put with finite-time maturity and stochastic interest rate
by: Cai, Cheng, et al.
Published: (2021)

Shape of term structures compatible with flexible choice of diffusion
by: Celary, Andreas, et al.
Published: (2025)

Multi-asset return risk measures
by: Laudagé, Christian, et al.
Published: (2024)

Robust risk measures: an averaging approach
by: Righi, Marcelo, et al.
Published: (2026)

On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
by: Alòs, Elisa, et al.
Published: (2023)

Risk measures based on target risk profiles
by: Alexander, Jascha, et al.
Published: (2024)

Optimal information acquisition for eliminating estimation risk
by: Liang, Zongxia, et al.
Published: (2024)

Systemic risk in markets with multiple central counterparties
by: Luitgard Anna Maria Veraart, et al.
Published: (2024)

Local risk-minimization for exponential additive processes
by: Arai, Takuji
Published: (2026)

Option pricing under non-Markovian stochastic volatility models: A deep signature approach
by: Ma, Jingtang, et al.
Published: (2025)

Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model
by: Yan, Dong, et al.
Published: (2025)

Distortion risk measures: Prudence, coherence, and the expected shortfall
by: Massimiliano Amarante, et al.
Published: (2024)

Tackling estimation risk in Kelly investing using options
by: Lillo, Fabrizio, et al.
Published: (2025)

Distortion risk measures of sums of two counter-monotonic risks
by: Huang, Chunle
Published: (2025)

A G-BSDE approach to the long-term decomposition of robust pricing kernels
by: Kim, Jaehyun, et al.
Published: (2024)

Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk
by: Gupte, Sumedh, et al.
Published: (2025)

Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus
by: Otsuki, Yuta, et al.
Published: (2024)

Optimal hedging with variational preferences under convex risk measures
by: Righi, Marcelo
Published: (2024)

Max- and min-stability under first-order stochastic dominance
by: Chambers, Christopher, et al.
Published: (2024)

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
by: Łabędzki, Mikołaj
Published: (2025)