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Representative Interest Rate Scenarios
for NY Regulation 126 and/or the new Standard Valuation Law (US) or Dynamic Solvency testing (Canada) ... create the initial curve. Table 1 shows the results for all 1000 scenarios and table 2 gives the results for ...- Authors: Sarah Christiansen
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Dynamic Spanning of Contingent Claims
main focus of the literature dealing with the valuation of contingent claims is on characterising the ... that underlie the theory of contingent claims valuation then an understanding of the role that these ...- Authors: Hal Warren Pedersen
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Multiple Currency Option Selection Using Stochastic Constraints
respectively are, 11.5%, 8.5%, 7.0%, 10.0%, and 10.5%. Table 1. Call Option Quotes: Philadelphia Exch., Nov. ... are given as in Table 2. 5This will lead to a quadratic programming problem. Table 2. Binomial Lattice ...- Authors: David C Thurston, Kelly T Au, Joel R Barber
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments