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A Cautionary Note on Pricing Longevity Index Swaps
quantitative analysis of this brand new financial innovation. First of all, the presentation sets up a ... index swaps. This framework, which is based on the dynamics of death rates under a two-factor stochastic mortality ...- Authors: Siu-Hang Li, Rui Zhou
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA
Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions ... property, the same quantities are estimated again to see a contrast or discrepancy in light of confidence ...- Authors: Ohoe Kim, Swathi D Gaddam
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics>Financial economics; Finance & Investments>Derivatives; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Weather Derivatives and Short-Period Rainfall Indices
Weather Derivatives and Short-Period Rainfall Indices Presentation discussing modeling of ... Rainfall Indices Presentation discussing modeling of daily and hourly rainfall, both occurrence and amount ...- Authors: Barry John Turner
- Date: Jan 2007
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models