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Option Pricing by Esscher Transforms
Computation 32 (1978): 277-79. 32. DUFFLE, D. Dynamic Asset Pricing Theory. Princeton: Princeton University ... LusKir~, D.L. ED. Por(folio Insurance: A Guide to Dynamic Hedging. New York: Wiley, 1988. 56. MADAN, D ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investments
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A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions
A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions This paper ... prepayment option is to use an im- munization or dynamic hedging approach. Hedge instruments are chosen ...- Authors: Michael Sherris
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value
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Introduction to the Dynamics of Pension Funding
principles applicable to pension funding under dynamic conditions of population growth, inflation, and ... Society of Actuaries 1976, Vol. 28. Assumptions;Dynamic simulation models;Inflation; 2290 10/1/1976 12:00:00 ...- Authors: Newton L Bowers, James C Hickman, Cecil J Nesbitt
- Date: Oct 1976
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Pensions & Retirement>Assumptions and methods; Pensions & Retirement>Funding
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Cost of Vesting in Pensions
Cost of Vesting in Pensions This paper presents a theoretical treatment of the determination ... Furthermore, changes in turnover patterns may be so dynamic as to make the cost of vesting one of the mo~t ...- Authors: William F Marples
- Date: Oct 1966
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Transactions of the SOA
- Topics: Pensions & Retirement>Assumptions and methods