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On the Confidence Interval of Black-Scholes Model
On the Confidence Interval of Black-Scholes Model This is the abstract of a paper that derives expressions ... expressions for the moments of the distribution of the option payoff in a Black Scholes economy. These results ...- Authors: Phelim Boyle, Hailiang Yang
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Positive Weights on the Efficient Frontier
Positive Weights on the Efficient Frontier This abstract describes a paper that derives a simple explicit ...- Authors: Phelim Boyle
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Annuities>Capital - Annuities; Annuities>Pricing - Annuities
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Bounds on Multiple Contingent Claims
Bounds on Multiple Contingent Claims These are the abstract and reference of the paper 'Bounds on ... on Multiple Contingent Claims'. Lo considered the problem on bounding a European option on a single ...- Authors: Phelim Boyle, Xiaodong Sheldon Lin
- Date: Jan 1997
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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Measuring and managing systemic risk
managing systemic risk This abstract describes a paper that proposes the use of the Co Conditional Tail ... 'CoCTE' to measure systemic risk and endogenizes the pro-cyclicality of capital requirements. Conditional ...- Authors: Phelim Boyle, Joseph Hyun-Tae Kim
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Systemic risk
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Abstracts from Various Actuarial Research
Abstracts from Various Actuarial Research A listing of abstracts from a variety of actuarial ... Various Actuarial Research A listing of abstracts from a variety of actuarial research. 18970 5/14/2013 ...- Authors: Phelim Boyle, Calvin D Cherry, Mark Evans, Farrokh Guiahi, Charles E Johnson, Karl K S Lee, Harry H Panjer, Lee M Tang, Basil A Xavier, Murray Silver, Walter J Mays
- Date: May 2013