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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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Hedging Variable Annuity Guarantees With Long-Dated Equity Derivatives
expect- ed to be put on in the future under a dynamic hedging strategy. Furthermore, gap risk—the risk ... core long-dated derivatives supple- mented by dynamic hedging to provide added flexibility in responding ...- Authors: Michelle Smith, Roma Jakiwczyk, Edward Wilson, Mark Evans
- Date: Nov 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Annuities>Variable annuities; Finance & Investments>Derivatives
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So, The Equity Markets Don't Always Go Up? Capital Markets Hedging of Variable Annuities and Equity-Indexed Annuities
following hedging considerations are explored: · Dynamic versus static hedging; · Full protection versus ... and Dan Patterson is going to talk about his dynamic hedging experience with EIAs. Before turning ...- Authors: Daniel Patterson, Marshall C Greenbaum, Jun Zhuo, D Kent Freeman
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- 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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Weird Science: Dissection of Derivatives
Weird Science: Dissection of Derivatives Panelists at this session of the SOA 1998 Maui I Spring ... want to use your entire portfolio and create a dynamic hedging scheme to hedge the derivatives that ...- Authors: Larry M Gorski, Stephen Reddy, Charlene Marie Barnes, Christopher T Anderson
- Date: Jun 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Derivatives in an Insurance Context
Derivatives in an Insurance Context This session is from the 1995 SOA Spring Meeting. Panelists ... trying to run a reasonable, theoretically correct, dynamic solvency test. There is the choice of interest ...- Authors: John Mulholland, Bryan Boudreau, Joseph Koltisko
- Date: Apr 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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What Are Derivatives? How to Make Money with Them and Why Governments Care
the systemic issues. I'll very briefly mention dynamic hedging. It's the portfolio insurance analog (portfolio ... proximate problems in the October 1987 crash). Dynamic hedging is a trading strategy, common among dealers ...- Authors: R Stephen Radcliffe, Charles R Taylor
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model The goal of this paper is to dispel the ... compute these radii fully captures the rel- evant dynamic process. For the simple stock case presented in ...- Authors: James A Tilley
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models