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Sensitivity analysis of catastrophe bond price under the hull-white interest rate model
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0139-0747
Swedbank, Stockholm, Sweden.
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)
2016 (English)In: Springer Proceedings in Mathematics & statistics, ISSN 2194-1017, E-ISSN 2194-1009, Vol. 178, 301-314 p.Article 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. Vol. 178, 301-314 p.
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-35102DOI: 10.1007/978-3-319-42082-0_17Scopus ID: 2-s2.0-85015344956OAI: oai:DiVA.org:mdh-35102DiVA: diva2:1085806
Available from: 2017-03-30 Created: 2017-03-30 Last updated: 2017-03-30Bibliographically approved

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Malyarenko, AnatoliySchyberg, Oskar
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CiteExportLink to record
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