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Back Dating Options: How Big A Sin Was It?
historically high betas. Thus we will form option valuation vectors with the same fields: [underlying price ... respective stock, the mean reversion of those stocks’ individual volatility may not have occurred at the same ...- Authors: Cicero Limberea
- Date: Aug 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Financial Reporting & Accounting>Fair value accounting; Modeling & Statistical Methods
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Canadian Dollar Time Series
from Bloomberg. The parameters are shown in the table on page 15. The mean reversion target, 125.16, ... turn to page 16 Table 1: Canadian Dollar Time Series Parameters This table shows the moderate ...- Authors: Joseph Koltisko
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Interest Rate Regimes - An Empirical Description
in A can be represented with each eigenvector. Table 1 and Figure 1 show the results of this analysis ... opposite adjust- ments to the state variables. In Table 1, they have been scaled so that the monthly change ...- Authors: Joseph Koltisko
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods