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A Primer on Credit Derivatives
A Primer on Credit Derivatives This paper explains the development of the credit derivative market, ... 17. Chen, R.-R., Cheng, X., and Wu, L. 2005. “Dynamic Interactions between Interest Rate, Credit, and ...- Authors: Stephen P D'Arcy, James P McNichols, Xinyan Zhao
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model This paper presents an algorithm ... modeling;Derivatives;Discount rates=Interest rates;Dynamic simulation models;Statistical methods; 8273 1/1/1999 ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Option Pricing by Esscher Transforms
Computation 32 (1978): 277-79. 32. DUFFIE, D. Dynamic Asset Pricing Theory. Princeton: Princeton, University ... LUSKIN, D.L. ED. PorOColio Insurance: A Guide to Dynamic Hedging. New York: Wiley, 1988. 56. ~VIADAN, ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach
Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach This ... P, = rain P b s ,S This fact explains why Dynamic Programming is the main tool in dealing with callable ...- Authors: Mark Saksonov
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models