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Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
Multivariate Modeling of Asset Returns for Investment Guarantees Valuation Presentation at the 41st ... sed: RS2LN w/ 1 corr. matrix and CCORR GARCH 17 of 20 Monte Carlo Monte Carlo experimentexperiment ...- Authors: Christian-Marc Panneton, Mathieu Boudreault
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models
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Implementation of Arbitrage-free Discretization of Interest Rate Dynamics and Calibration via Swaptions and Caps in Excel VBA
Arbitrage-free Discretization of Interest Rate Dynamics 17 We can generate LIBOR using the following formula ... m To 7 term = 1 - (Cells(18 + i, 1 + m) / Cells(17 + i, 1 + m)) mx = WorksheetFunction.Max(0, term) ...- 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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Modeling: Basic Training
Modeling: Basic Training Provides a how-to session on modeling assets and liabilities in the Valuation ... Rate 15. Absolute MAn Rate 16. Next Reset Date 17. Renewal Reset Dates TABLE 4 Data Request Forms ...- Authors: Arnold Dicke, Meredith Ratajczak
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Health & Disability>Health insurance; Life Insurance>Reserves - Life Insurance; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models