Stochastic investment model

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A stochastic investment model tries to forecast how returns and prices on different assets or asset classes, (e. g. equities or bonds) vary over time. Stochastic models are not applied for making point estimation rather interval estimation and they use different stochastic processes. Investment models can be classified into single-asset and multi-asset models. They are often used for actuarial work and financial planning to allow optimization in asset allocation or asset-liability-management (ALM).

Single-asset models

Interest rate models

Interest rate models can be used to price fixed income products. They are usually divided into one-factor models and multi-factor assets.

One-factor models

Multi-factor models

Term structure models

LIBOR market model (Brace Gatarek Musiela model)

Stock price models

Inflation models

Multi-asset models

ALM.IT (GenRe) model
Cairns model
FIM-Group model
Global CAP:Link model
Ibbotson and Sinquefield model
Morgan Stanley model
Russel–Yasuda Kasai model
Smith's jump diffusion model
TSM (B & W Deloitte) model
Watson Wyatt model
Whitten & Thomas model
Wilkie investment model
Yakoubov, Teeger & Duval model

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