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The Cost of Mismatch in Stochastic Interest Rate Models

The Cost of Mismatch in Stochastic Interest Rate Models In a stochastic world consideration of only a few deterministic scenarios can potentially be dangerous. The aim of the present research is ...
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Description: In a stochastic world consideration of only a few deterministic scenarios can potentially be dangerous. The aim of the present research is to study the computation of the cost of mismatch using stochastic interest rate models instead of scenario testing. In this paper, two commonly used Stochastic interest rate models are considered: the one introduced by Vasicek 1977 and the one proposed by Cox, Ingersoll and Ross 1985.
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- Authors: Michel Jacques, JEROME ZACCARI PANSERA
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models

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The Cost of Mismatch in Stochastic Interest Rate Models