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Pricing catastrophe risk bonds: A mixed approximation method
16 references·1 citing·35 second hop
Pricing catastrophe risk bonds: A mixed approximation method (2013)Pricing catastrophe risk bonds: A mixed a…Merton, Robert C. (2010)Merton, Robert C.Goodness of Fit (2007)Goodness of FitCAT Bonds and Other Risk-Linked Securities: State of the Market and Recent Developments (2007)CAT Bonds and Other Risk-Link…Loss Models: From Data to Decisions (2006)Loss Models: From Data to Dec…1. Stochastic Differential Equations (2004)1. Stochastic Differential Eq…Stochastic Differential Equations (2003)Stochastic Differential Equat…Catastrophe Risk Bonds (2000)Catastrophe Risk BondsSimulation modeling and analysis (1999)Simulation modeling and analy…Loss Models: From Data to Decisions (1999)Loss Models: From Data to Dec…Insurance Risk Models (1994)Insurance Risk ModelsDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Simulation Modeling and Analysis. (1983)Simulation Modeling and Analy…ON THE VALIDATION OF MODELS (1981)ON THE VALIDATION OF MODELSAn equilibrium characterization of the term structure (1977)An equilibrium characterizati…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Valuing catastrophe bonds involving correlation and CIR interest rate model (2016)Valuing catastrophe bonds inv…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Bank competition and financial stability in Asia Pacific (2013)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)How does competition affect bank systemic risk? (2013)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Understanding Relationships Using Copulas (1998)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)On the use of dimensioned measures of error to evaluate the performance of spatial interpolators (2006)Components of information for multiple resolution comparison between maps that share a real variable (2007)Revisiting the concept of a symmetric index of agreement for continuous datasets (2016)Testing ecological models: the meaning of validation (1996)Developing Theory Through Simulation Methods (2007)Verification and validation of simulation models (2012)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Modeling Good Research Practices—Overview: A Report of the ISPOR-SMDM Modeling Good Research Practices Task Force-1 (2012)Simulation Modeling and Analysis (2016)
this work references cited by second hop

References

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  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1981ON THE VALIDATION OF MODELS4,904 cited
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  • 2000Catastrophe Risk Bonds179 cited

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  • 2016Valuing catastrophe bonds involving correlation and CIR interest rate model

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29 cited