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Catastrophe Risk Bonds
Catastrophe Risk Bonds This paper examines the pricing of catastrophe risk bonds. Catastrophe ... its relationship to the standard arbitrage-free valuation framework. Equilibrium pricing theory is used ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Environment and Financial Markets
two kinds of optimization problems crop up: 1)Individual agent problem. 2)Global optimization problem ... good options. Finally we will briefly mention valuation topics. 1. General Discussion We shall list ...- Authors: Wojciech Szatzschneider
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Option Pricing by Esscher Transforms
results are rooted in the idea of risk-neutral valuation of Cox and Ross [24]. For an insightful introduction ... quantitatively some of the verbal statements in Table 17.1 of Hull's book [47, p. 438]. We thank Frangois ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods