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The Mollification Analysis of Stochastic Volatility
The Mollification Analysis of Stochastic Volatility One of the most important problems in Finance is ... is the valuation of financial securities written on underlying assets whose prices are subject ...- Authors: Lijia Guo
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Estimating Long-Term Returns in Stochastic Interest Rate Models
Models This paper addresses the evaluation of long-term returns when the short interest rate is modeled ... process. By deriving the long-term return dynamics and invoking the Feyman-Kac formula, the long-term return ...- Authors: Lijia Guo, Zenghui Huang
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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A Space Marching Finite Difference Algorithm for Valuing American
Algorithm for Valuing American This is the abstract of the paper A Space Marching Finite Difference ... Valuing American. In this paper, the author considers the problem of valuating American options written ...- Authors: Lijia Guo
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Risk measurement - ERM; Finance & Investments>Derivatives
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Capital Allocation by Possibilistic Linear Programming Approach
mean-variance method does not take skewness of the random rate of return into consideration. It only considers ... acceptable rate of return, which limited the probability of obtaining higher rate of return. If the skewness ...- Authors: Lijia Guo, Zhen Huang
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Non-Parameteric Estimation for Joint Survival Distribution Using Interval-Censoring Technique
and then uses the interval censoring technique to estimate the probability of failure of a Joint-life ... that the life annuities of joint-life status calculated assuming independence overestimates the ones ...- Authors: Robert Brown, Lijia Guo, Yibing Wang
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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An Optimal Model for Asset Liability Management
Asset Liability Management This paper addresses the stochastic modeling for managing asset liability ... evaluating of the liabilities of the insurance company in general. We then formulate the ALM process ...- Authors: Lijia Guo
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models