Wiener chaos expansion and numerical solutions of the Heath–Jarrow–Morton interest rate model

2016 ◽  
Vol 19 (4) ◽  
pp. 1-27
Author(s):  
Evangelia A. Kalpinelli ◽  
Nikolaos Thomaidis ◽  
Athanasios N. Yannacopoulos
Keyword(s):  
Interest Rate ◽  
Numerical Solutions ◽  
Chaos Expansion ◽  
Rate Model ◽  
Wiener Chaos ◽  
Interest Rate Model ◽  
Wiener Chaos Expansion

scholarly journals DC Pension Plan with Refund of Contributions under Affine Interest Rate Model

2020 ◽  
pp. 1-16
Author(s):  
Udeme O. Ini ◽  
Obinichi C. Mandah ◽  
Edikan E. Akpanibah
Keyword(s):  
Interest Rate ◽  
Optimal Investment ◽  
Hjb Equation ◽  
Pension Scheme ◽  
Theoretic Approach ◽  
Rate Model ◽  
Risky Assets ◽  
Investment Plan ◽  
Interest Rate Model ◽  
The Impact

This paper studies the optimal investment plan for a pension scheme with refund of contributions, stochastic salary and affine interest rate model. A modified model which allows for refund of contributions to death members’ families is considered. In this model, the fund managers invest in a risk free (treasury) and two risky assets (stock and zero coupon bond) such that the price of the risky assets are modelled by geometric Brownian motions and the risk free interest rate is of affine structure. Using the game theoretic approach, an extended Hamilton Jacobi Bellman (HJB) equation which is a system of non linear PDE is established. Furthermore, the extended HJB equation is then solved by change of variable and variable separation technique to obtain explicit solutions of the optimal investment plan for the three assets using mean variance utility function. Finally, theoretical analyses of the impact of some sensitive parameters on the optimal investment plan are presented.

scholarly journals Nonparametric estimation and specification testing of a two-factor interest rate model

2021 ◽  
Author(s):  
Brennan Scott Thompson
Keyword(s):  
Interest Rate ◽  
Nonparametric Estimation ◽  
Rate Model ◽  
Specification Testing ◽  
Interest Rate Model

Nonparametric estimation and specification testing of a two-factor interest rate model

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