Description: This paper shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. From the Transactions of Society of Actuaries 1994, Vol. 46.

Description: This paper presents enhancements to the classical cash-flow matching approach to developing fixed income portfolio investment strategy by allowing cash carry-forward and borrowing from future surpluses.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper discusses the pricing of bond options and interest-sensitive cash flows by discrete state/time models such as binomial lattices. Current binomial models are faulty because the put-call parity relationship may not hold for all periods and there may exist negative interest rates. This paper presents a binomial model without such riskless arbitrage opportunities. This model allows the initial term structure of interest rates to be prescribed exogenously, so that the model price for each stream of fixed and certain cash flows is the market price.

Description: This paper discusses extending the general nonparallel shift approach to duration analysis developed previously and explores the immunization model within the multivariate context. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper applies the duality theory of linear programming to provide insights for generalizing and solving the cash-flow matching problem.