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A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
A Cost of Capital Approach to Extrapolating an Implied Volatility Surface This paper develops an option pricing model that takes cost of capital concepts as its foundation rather than dynamic ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Estimation methods
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An Investment Actuary's Approach to ALM
An Investment Actuary's Approach to ALM This paper is to some extent a sequel to my previous paper A Bond Manager's Method for ALM published in Actuarial Research Clearing House ...- Authors: Application Administrator
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Risk measurement - Finance & Investments
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Strategic Considerations in Designing a Revenue Hedging Policy for Nonfinancial Companies Using the Example of the Oil Tanker Industry
Strategic Considerations in Designing a Revenue Hedging Policy for Nonfinancial Companies Using the Example of the Oil Tanker Industry Risk management theory prescribes a few legitimate reasons ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Investment policy
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Using Trading Costs to Construct Better Replicating Portfolios
Using Trading Costs to Construct Better Replicating Portfolios Regularization, by means of trading restrictions, is an effective way to obtain sparse replicating portfolios. By including only the ...- Authors: Curt Burmeister, Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Economic capital