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  • 1.
    Malyarenko, Anatoliy
    et al.
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Röman, Jan
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Swedbank, Sweden.
    Schyberg, Oskar
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Sensitivity Analysis of Catastrophe Bond Priceunder the Hull–White Interest Rate Model2016In: Engineering Mathematics I: Electromagnetics, Fluid Mechanics, Material Physics and Financial Engineering / [ed] Sergei Silvestrov; Milica Rancic, Springer, 2016Chapter in book (Refereed)
    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 the Hull–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.

  • 2.
    Röman, Jan
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Analytical Finance: Volume I: The Mathematics of Equity Derivatives, Markets, Risk and Valuation2017 (ed. 1)Book (Refereed)
  • 3.
    Röman, Jan
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation2017 (ed. 1)Book (Refereed)
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