| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20130024318 |
| 003 | | | MAP |
| 005 | | | 20130829115018.0 |
| 008 | | | 130731e20130304esp|||p |0|||b|spa d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a6 |
| 245 | 0 | 0 | $aPricing inflation products with stochastic volatility and stochastic interest rates$cStefan N. Singor...[et.al] |
| 520 | | | $aWe consider a Heston type inflation model in combination with a HullWhite model for nominal and real interest rates, in which all the correlations can be non-zero. Due to the presence of the Heston dynamics our derived inflation model is able to capture the implied volatility skew/smile, which is present in the inflation option market data. We derive an efficient approximate semi-closed pricing formula for two types of inflation dependent options: index and year-on-year inflation options. The derived pricing formulas allow for an efficient calibration of the inflation model. We also illustrate our approach using a real-life pension fund example, where the Heston HullWhite model is used to determine the value of conditional future indexations. |
| 773 | 0 | | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g04/03/2013 Volumen 52 Número 2 - marzo 2013 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
