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Embedded options and interest rate risk for insurance companies, banks and other financial institutions

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References

1976The pricing of commodity contracts2,859 cited
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1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
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1997Financial Risk Management by Insurers: An Analysis of the Process163 cited
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1996Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits127 cited
1995Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach82 cited
1991Option pricing and investment strategies

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31 cited

Cited by

2015The Effects of a Low Interest Rate Environment on Life Insurers58 cited
2008An Analysis of the Guaranteed Withdrawal Benefits for Life Option23 cited
2012Studying the Role of Financial Risk Management on Return on Equity19 cited
2016Identifying the Determinants of Interest Rate Risk of the Banks17 cited