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Differential Equation Model For Yield Curves
Differential Equation Model For Yield Curves This paper examines a differential equation model, whose ... the relevance of the model with historical monthly U. S. Treasury nominal rates. From the Actuarial ...- Authors: Steven Craighead
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling; Technology & Applications>Analytics and informatics
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Aspects of Interest Rate Models
shown that with the addition of data from the 19S0's there is little evidence of any power of the 434 ... predict future Treasury bill rates. 2 A Character i s t i c o f the Brennan and Schwar tz Mode l ...- Authors: Keith Sharp
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods>Asset modeling
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Axioms for the Internal Rate of Return of an Investment Project
INTERNAL RATE OF RETURN OF AN INVESTMENT PROJECT S. DAVID PROMISLOW York University, North York, Ontario ... take co = -1. Let n p(u) = ~_ciu -i i=0 the present value of T at rate i= u-t. 327 (Note: It ...- Authors: S. Promislow, David Spring
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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Interest Rate Volatility and Equilibrium Models of the Term Structure: Empirical Evidence
history of zero coupon bonds (strips) from the U.S. government securities market. Although the CIR model ... explain yield curve volatility behavior. 200 TABLE OF CONTENTS I. INTRODUCTION . . . . . . . .- Authors: Marc A Godin
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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A Multivariate Approach to Duration Analysis
involving the force of interest, Ot', the force of mortality. The various approximation formulas are also ... formulas can produce estimates which a~-e orde~'s of magnitude in erro~'. As part of the analysis ...- Authors: Robert Reitano
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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Immunization Theory: A Simplified Example
L( 6) = r; vt FO(t)dt. S( 6): Surplus valued at force of interest 6, S(6) = A(6) - L(6). TO minimize ... minimize the effect of interest rate change on S(6), an investment portfolio is sought such that at the ...- Authors: James C Hickman, LORI LYNN SCHUMACHER, DAVID C WU
- Date: Jan 1983
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling
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Realized Return Optimization. A New Approach to Liability Funding
Realized Return Optimization. A New Approach to Liability Funding This presentation outlines strategies ... 12.0% 12.0% 14.0% 11.50% IDENTIFYING AND MEA S URING RISK RISK : Possibility Of Not Achieving Target ...- Authors: Prakash A Shimpi
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling