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Arbitrage-Free Pricing of Interest-Rate Contingent Claims
Arbitrage-Free Pricing of Interest-Rate Contingent Claims This paper discusses the pricing of ... certain cash flows is the market price. Asset valuation;Corporate bonds;Government bonds;Interest rate ...- Authors: Elias Shiu, Application Administrator, Hal Warren Pedersen
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value
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Cash Flow Analysis by the Prudent Banker's Method, or Discounting Turned on its Head
effect of deaths and lapses, was as follows: TABLE 1 PROJECTED CASH FLOW ON BLOCK OF BUSINESS Year ... the computed rate of return on the cash flow in Table 1, by a "normal" or conventional discounting process ...- Authors: Application Administrator, Mark Evans, Roger E Johnson, Thomas Marra, Claude Y Paquin, S. Promislow, William L Roach, Eric Seah, Elias Shiu, Courtland C Smith, Donald R Sondergeld
- Date: Oct 1987
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance>Pricing - Life Insurance