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The Growing Demand for More Robust Economic Scenario Generators
The Growing Demand for More Robust Economic Scenario Generators Reviews basic desirable features in ... an economic scenario generator. Discusses basics of model structure and validation process Interest ...- Authors: Ken Griffin, Hal Warren Pedersen
- Date: Aug 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management
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Dynamic Spanning of Contingent Claims
Dynamic Spanning of Contingent Claims In this paper we discuss the link between the price of a contingent ... We compute the replicating strategies for some contingent claims when the price of stocks are modeled ...- Authors: Hal Warren Pedersen
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments