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A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions
5/60=1/12 of a year, or one month. Table 1 shows values of s(i,t), the cumulative effect of up and ... assumption, the expected value of s(i,t) at time t is 0 and the variance of s(i,t) at time t is t. The one-period ...- Authors: Michael Sherris
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value