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Catastrophe Risk Bonds
Catastrophe Risk Bonds This paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore the pricing of catastrophe risk bonds ...- 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
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A Stochastic Definition of Future Shares
A Stochastic Definition of Future Shares This is the abstract of the paper 'A Stochastic Definition of Future Shares'. The traditional definition of actuarial future values and ...- 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
Environment and Financial Markets This paper proposes to put the environment into financial markets. It explains how to do it, and why the financial approach is practically the only one able to ...- 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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The Mollification Analysis of Stochastic Volatility
The Mollification Analysis of Stochastic Volatility One of the most important problems in Finance is the valuation of financial securities written on underlying assets whose prices are ...- 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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Quasi-Monte Carlo Methods in Numerical Finance
Quasi-Monte Carlo Methods in Numerical Finance This is the abstract of the paper Quasi-Monte Carlo Methods in Numerical Finance. This paper introduces and illustrates a new version of the Monte ...- 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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An Alternative Option Pricing Model
An Alternative Option Pricing Model A European call option pricing model similar to the Black-Scholes equation [1] is derived. Like the Black-Scholes equation, the model is based upon an ...- 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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Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach
Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach This paper presents a new methodology for obtaining fast algorithms and closed form solutions for pricing ...- Authors: Mark Saksonov
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models