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A Cautionary Note on Pricing Longevity Index Swaps
participants to hedge or gain exposure to longevity and mortality risks. This presentation offers a quantitative ... of death rates under a two-factor stochastic mortality model in a risk-adjusted probability measure, ...- 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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Weather Derivatives and Short-Period Rainfall Indices
Weather Derivatives and ... 8 15 22 29 Day of Month T e m p e r a t u r e ( d e g . C ) Daily Rainfall Accumulations ... 22 29 Day of Month D a i l y A c c u m u l a t i o n ( m m ) Hourly Temperatures ...- 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
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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 ... and swap rate models” by Glasserman, P and Zhao, X 2000, the algorithms are implemented in excel VBA. Starting ...- 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