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Valuation of cash flows under random rates of interest: A linear algebraic approach

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  • Date, P.
  • Mamon, R.
  • Wang, I.C.

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  • Date, P. & Mamon, R. & Wang, I.C., 2007. "Valuation of cash flows under random rates of interest: A linear algebraic approach," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 84-95, July.
    • Handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:84-95
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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    3. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    4. Cairns, Andrew J. G., 1995. "The Present Value of a Series of Cashflows: Convergence in a Random Environment," ASTIN Bulletin, Cambridge University Press, vol. 25(2), pages 81-94, November.
    5. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
    6. Zaks, Abraham, 2001. "Annuities under random rates of interest," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 1-11, February.
    7. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
    8. KOCH, Inge & DE SCHEPPER, Ann, "undated". "General annuities under truncate stochastic interest rates," Working Papers 2004016, University of Antwerp, Faculty of Business and Economics.
    9. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    10. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
    11. Burnecki, Krzysztof & Marciniuk, Agnieszka & Weron, Aleksander, 2003. "Annuities under random rates of interest--revisited," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 457-460, July.
    12. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
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    Cited by:

    1. Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
    2. Date, P. & Mamon, R. & Jalen, L. & Wang, I.C., 2010. "A linear algebraic method for pricing temporary life annuities and insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 98-104, August.

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