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Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate
Andrea Molent / Antonino Zanette / Ludovic Goudenège
interest rates / numerical methodsResource overview

Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate

Paper2025

by Andrea Molent, Antonino Zanette, Ludovic Goudenège

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interest ratesnumerical methods

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Suggested foundations for rates and fixed income and volatility models and surfaces. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  4. ARCH and GARCH

    Separate conditional volatility from observed returns.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

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