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Long-Term Forecasting for Interest Rates
N-DAY CHANGES IN INTEREST RATES UNDER VASICEK TYPE DYNAMIC WITH NONPARAMETRIC STOCHASTIC COMPONENT ..... ... n-day changes in interest rates under Vasicek type dynamic with nonparametric stochastic component 3 ...- Authors: Application Administrator, Vladimir S Ladyzhets, Vladimir Cherepanov
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Stochastic models
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Interest Scenarios
It does not actually attempt to emulate the dynamic of interest-rate term structure. An arbitrage-free ... the Heath & Jarrow & Morton Model describes the dynamic of the forward rate. All three models are classical ...- Authors: Application Administrator, John M Bragg, Larry M Gorski, John B Gould, Regina Lefkowitz, Sarah Christiansen, Jeffrey S Roth, John D Marcsik, Vladimir S Ladyzhets
- Date: Oct 2000
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Asset modeling; Public Policy