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Algorithms for Cash-Flow Matching
Algorithms for Cash-Flow Matching This paper presents enhancements to the classical cash-flow matching approach to developing fixed income portfolio investment strategy by allowing cash ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments
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Multivariate Duration Analysis
Multivariate Duration Analysis In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Arbitrage-Free Pricing of Interest-Rate Contingent Claims
Arbitrage-Free Pricing of Interest-Rate Contingent Claims This paper discusses the pricing of bond options and interest-sensitive cash flows by discrete state/time models such as binomial ...- 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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Multivariate Immunization Theory
Multivariate Immunization Theory This paper discusses extending the general nonparallel shift approach to duration analysis developed previously and explores the immunization model within the ...- Authors: Robert Reitano, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Cash-Flow Matching and Linear Programming Duality
Cash-Flow Matching and Linear Programming Duality This paper applies the duality theory of linear programming to provide insights for generalizing and solving the cash-flow matching problem.- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management