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Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA
Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA We consider Libor market model and calibration process. We estimate ...- Authors: Ohoe Kim, Swathi D Gaddam
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics>Financial economics; Finance & Investments>Derivatives; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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Accounting for Investments
Accounting for Investments Presented at May 1996 Spring Meeting. The investment environment has undergone significant change over the last several years through the introduction of many ...- Authors: Douglas C Kolsrud, Cathy Engelbert, Arnold Brousell
- Date: May 1996
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives; Financial Reporting & Accounting; Modeling & Statistical Methods>Asset modeling
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Financial Economics: The Option You Can't Refuse
Financial Economics: The Option You Can't Refuse Presented at June 1996 Spring Meeting. Provides overview of modern pricing of assets such as derivatives. It includes theory and practical ...- Authors: David N Becker
- Date: Jun 1996
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Asset modeling