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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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Pricing of Credit Derivatives
Pricing of Credit Derivatives This is the abstract of the paper 'Pricing of Credit Derivatives' ... Derivatives'. This talk will give an overview of current pricing techniques. We first show how to build a credit ...- Authors: David X Li
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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A Note on Hedging and the Put Option
A Note on Hedging and the Put Option This note develops the optimality of the put option as a hedging ... against the downside risk of the stock price. In this short note, we ask two questions with the hedge strategy ...- Authors: Xiaochuan Wang
- 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>Derivatives; Finance & Investments>Investment strategy - Finance & Investments
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A Stochastic Definition of Future Shares
Definition of Future Shares This is the abstract of the paper 'A Stochastic Definition of Future Shares' ... Shares'. The traditional definition of actuarial future values and stochastic definition of Ramsay are ...- Authors: José Garrido
- Date: Jan 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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Environment and Financial Markets
proposes to put the environment into financial markets. It explains how to do it, and why the financial approach ... approach is practically the only one able to stop and invert environmental degradation. The author concentrates ...- Authors: Wojciech Szatzschneider
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods
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Bounds on Multiple Contingent Claims
Multiple Contingent Claims These are the abstract and reference of the paper 'Bounds on Multiple Contingent ... considered the problem on bounding a European option on a single asset. He obtained an upper bound on the payoff ...- Authors: Phelim Boyle, Xiaodong Sheldon Lin
- Date: Jan 1997
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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An Alternative Option Pricing Model
similar to the Black-Scholes equation [1] is derived. Like the Black-Scholes equation, the model is based ... based upon an assumption of a lognormal distribution of the price of a risky, non-dividend-paying security ...- Authors: Joseph D Marsden
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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Quasi-Monte Carlo Methods in Numerical Finance
Carlo Methods in Numerical Finance This is the abstract of the paper Quasi-Monte Carlo Methods in Numerical ... version of the Monte Carl method that has attractive properties for the numerical valuation of derivatives ...- Authors: Ken Seng Tan
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Simulation
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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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Catastrophe Risk Bonds
Catastrophe Risk Bonds This paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot ... hedged by traditional securities. Therefore the pricing of catastrophe risk bonds requires an incomplete ...- Authors: Samuel Cox, Hal Warren Pedersen
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods