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Pricing pension plans under jump–diffusion models for the salary
(Elsevier, 2014)
[Abstract] In this paper we consider the valuation of a defined benefit pension plan in the presence of jumps in the underlying salary and including the possibility of early retirement. We will consider that the salary ...
A new numerical method for pricing fixed-rate mortgages withprepayment and default options
(Taylor & Francis Online, 2016)
[Abstract] In this paper we consider the valuation of fixed-rate mortgages including prepayment and default options,where the underlying stochastic factors are the house price and the interest rate. The mathematical modelto ...
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
(SIAM, 2013)
[Abstract] In this paper, we address the mathematical analysis and numerical solution ofa model for pricing a defined benefit pension plan. More precisely, the benefits received by themember of the plan depend on the ...
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
(Elsevier, 2015)
[Abstract] In the pricing of fixed rate mortgages with prepayment and default options, we introduce jump-diffusion models for the house price evolution. These models take into account sudden changes in the price (jumps) ...