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Some Aspects of Statement of Financial Accounting Standards No. 87
assets would be random. Other factors (e.g. mortality) are supposed static. Chapter 1 describes the ... information about rates implicit in current prices of annuity contracts that could be used to effect settlement ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension accounting
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A General Formula for Option Prices in s Stochastic Volatility Model
A General Formula for Option Prices in s Stochastic Volatility Model This presentation considers the ... stochastic volatility. The presentation shows how Parseval’s theorem may be used to express those prices as Fourier ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Beta-Gamma Algebra, Discounted Cash-Flows, and Barnes' Lemmas
p ≥ 0. 4 Mellin transform: if X ≥ 0, then MX(s) = EXs. Mellin transforms for sums of positive variables ... b)Γ(c+ d) Γ(a)Γ(c)Γ(b+ d) ua−1(1−u)b+d−1 2F1(a+b−c, d; b+d; 1−u)1{0<u<1}. 10 Theorem F. (a) If Re(p) ...- Authors: Daniel Dufresne
- Date: Dec 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Modeling & Statistical Methods>Stochastic models
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Stochastic Volatility And Option Pricing
28 | RISKS AND REWARDS FEBRUARY 2010 S tochastic volatility models are now routinely used ... processes may may have any distribution, while if S is GBM then Stochastic Volatility and Option Pricing ...- Authors: Daniel Dufresne
- Date: Feb 2010
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models