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Arbitrage-Free Pricing of Interest-Rate Contingent Claims
Arbitrage-Free ... eliminated can be proved rnutatis mu- tandis (also see [17], [19], [31, Section 10.B], [47] and [59, Section ... 71me to Motur l ty I 1 I 1 I I I 13 14 1.5 16 17 1~. 19 20 017 Q16 015 014 015 ...- Authors: Elias Shiu, Application Administrator, Hal Warren Pedersen
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value
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Certain Actuarial Considerations in Determining Life Insurance Company Equity Values - Actuarial Note
TRANSACTIONS OF SOCIETY OF ACTUARIES 1965 VOL. 17 PT. 1 NO. 49 CERTAIN ACTUARIAL CONSIDERATIONS IN ... I I I i l I 2 5 4 5 6 7 8 9 I0 II 12 15 14 15 16 17 18 19 20 6rowth Rate Per Cent In Year I LIFE ...- Authors: Thomas P Bowles, Lloyd S Coughtry
- Date: Oct 1965
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value
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A One-Factor Interest Rate Model and the Valuation of Loans with Prepayment Provisions
[9], Ho and Lee [10], Jamshidian [13], Miller ([17], [11], [19]), O'Brien [20], Pedersen and Shiu [21] ... Credit and Banking 24, no. 3 (1992): 279-99. 17. MILLER, S.P. "A Continuous Arbitrage-Free Interest ...- 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