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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 ...
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) ...