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Aspects of Interest Rate Models
Hen(ters}Eotl and A.I~. Sarlders. P~tcrT~i~arl/., c,f//~ 17~/~ </ Call Options on Default - FT'~'e BoTlds, ... ~,t(,', l, t) = - -~ + (~t -- l ~ + ?'l)/rll. (A.17) Thus we are left with only one utility' dependent ...- Authors: Keith Sharp
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods>Asset modeling
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Differential Equation Model For Yield Curves
(and reasonable) values at infinity and zero. See [17]. Reasonable here wil l mean interest rates that ... it will not have a finite value at infinity. See [17]. II Sieqel's t runcated model of yield curves ...- Authors: Steven Craighead
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling; Technology & Applications>Analytics and informatics
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Axioms for the Internal Rate of Return of an Investment Project
Axioms for the Internal Rate of Return of an Investment Project This paper studies the internal ... of return", The Engineering Economist 32, (1986), 17-38. 4. Promislow, S.D. "A New Approach to the Theory ...- Authors: S. Promislow, David Spring
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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A Multivariate Approach to Duration Analysis
umbet' of years later,. Redington [16] ar,d Samuelson [17] again discovered this f'ormula by analyzing questions ... approximation and i value would p."edict a decrease of .17". Making the adJustment fo." the convexity value ...- Authors: Robert Reitano
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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Interest Rate Volatility and Equilibrium Models of the Term Structure: Empirical Evidence
Interest Rate Volatility and Equilibrium Models of the Term Structure: Empirical Evidence ... New Methodology", Journal of Financial Economics 17, 143-173. 12. Stambaugh, R.F., [1986], MThe Information ...- Authors: Marc A Godin
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling