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Risks and Rewards Newsletter, August 2006, Issue No. 48
N V E S T M E N T S E C T I O N “A KNOWLEDGE COMMUNITY FOR THE SOCIETY OF ACTUARIES” R I S K S A N ... D R E W A R D S Issue No. 48 • August 2006 TH E NE W S L E T T E R O F T H E IN V E S T M E N T SE ...- Authors: Society of Actuaries, Nino A Boezio, Mark Evans, Shane Francis Whelan, Aaron Meder, Nancy Holland
- Date: Aug 2006
- Publication Name: Risks & Rewards
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Implications of Real World Customer Behavior in RiskNeutral Hedging
Rewards Newsletter August 2006 – Issue No. 48 S ome have suggested using real world assumptions for ... referred to as the real world shadow account. Table 1 below gives an example. Here, we are at the end ...- Authors: Mark Evans
- Date: Aug 2006
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Risks and Rewards, February 2005, Issue No. 46
R I S K S A N D R E W A R D S Issue No. 46 • February 2005 TH E NE W S L E T T E R O F T H E IN ... IN V E S T M E N T SE C T I O N PU B L I S H E D I N SC H A U M B U R G, I L L . BY T H E SO C I E ...- Authors: Nino A Boezio, Mark Evans, Richard Wendt, Mark Bursinger, Shane Francis Whelan
- Date: Feb 2005
- Publication Name: Risks & Rewards
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More Techniques For Better Attributions
portion of change attributed to component i, and u and v are the vectors of the attribution components ... Dec. 31, 2007 through Dec. 31, 2012, issuing 10 S&P 500 options, one each on the last business day ...- Authors: Mark Evans
- Date: Feb 2014
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Estimation methods
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Residual Risk When Hedging Delta and Rho of Equity Options
Input data included the daily closing value of the S&P 500 index price from Jan. 2, 1962 through Sept ... This procedure is roughly calibrated to historical S&P 500 re- turns. 10-YEAR PUT OPTION HEDGING For the ...- Authors: Mark Evans
- Date: Mar 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Enterprise Risk Management>Capital markets; Finance & Investments>Derivatives
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Expensing Employee Stock Options
option MV(t) = the market value of company at time t S(t) = stock price at time t C(T) = value of a call ... to option expiry is equal to: E[MV(T)] = Shares*S(0)*exp(rT) + Options*C(T)*exp(rT) Also, MV(0) = ...- Authors: Mark Evans
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>General business skills
- Publication Name: Risks & Rewards
- Topics: Financial Reporting & Accounting>Financial Accounting Standards Board [FASB]