Pricing of Financial Assets

Mario V. Wüthrich and Michael Merz
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Mario V. Wüthrich: ETH Zurich
Michael Merz: University of Hamburg

Chapter Chapter 5 in Financial Modeling, Actuarial Valuation and Solvency in Insurance, 2013, pp 131-151 from Springer

Abstract: Abstract This chapter closes the first part of the book which is on financial modeling and state price deflator construction. We give several examples of valuation of cash flows and basis financial instruments of the financial market, and we model and price defaultable bonds and derivatives of underlying financial instruments such as European put and call options. This provides the grounding for the valuation of insurance portfolios, in particular, if they include financial options such as minimal interest rate guarantees. Moreover, we define the Vasicek financial model which is going to be used as toy model in many subsequent examples.

Keywords: State Price Deflator; Basic Financial Instruments; Minimum Interest Rate Guarantee; Fundamental Theorem Of Asset Pricing (FTAP); Price Process (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-31392-9_5

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DOI: 10.1007/978-3-642-31392-9_5

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