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Pricing of Guaranteed Products for Defined Benefit Pension Funds
Pricing ... to r st + where rt -is a spot interest rate and s is a quality spread. Dynamic of the market value ... is described by a following equation dM M r s dt D drt t t t= ⋅ + − ⋅(( ) ) This equation ...- Authors: Mark Saxonov
- Date: Jan 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Pension investments & asset liability management