Efficient Methods for Valuing Interest Rate Derivatives

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Subfields: Finance

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Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009, methodology): “We note that the strip of regularity of the SZHW characteristic function is the same as that of the Schöbel and Zhu (1999) model, for which we refer the reader to Lord and Kahl (2007).”