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Schyberg, Oskar
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Malyarenko, A., Röman, J. & Schyberg, O. (2016). Sensitivity analysis of catastrophe bond price under the hull-white interest rate model. Springer Proceedings in Mathematics & statistics, 178, 301-314
Open this publication in new window or tab >>Sensitivity analysis of catastrophe bond price under the hull-white interest rate model
2016 (English)In: Springer Proceedings in Mathematics & statistics, ISSN 2194-1017, E-ISSN 2194-1009, Vol. 178, p. 301-314Article in journal (Refereed) Published
Abstract [en]

We consider a model, where the natural risk index is described by the Merton jump-diffusion while the risk-free interest rate is governed by theHull-White stochastic differential equation. We price a catastrophe bond with payoff depending on finitely many values of the underlying index. The sensitivities of the bond price with respect to the initial condition, volatility of the diffusion component, and jump amplitude, are calculated using the Malliavin calculus approach.

Place, publisher, year, edition, pages
Springer New York LLC, 2016
National Category
Computational Mathematics
Identifiers
urn:nbn:se:mdh:diva-35102 (URN)10.1007/978-3-319-42082-0_17 (DOI)2-s2.0-85015344956 (Scopus ID)
Available from: 2017-03-30 Created: 2017-03-30 Last updated: 2017-11-29Bibliographically approved
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