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Dynamic Spanning of Contingent Claims
arbitrage-free pricing of contingent claims places its primary emphasis on methods of computing the prices of ... state space, the Poisson model admits a more direct analysis than is possible for the Wiener process ...- Authors: Hal Warren Pedersen
- 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>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Optimal Hedge Ratio and Hedge Efficiency: An Empirical Investigation of Hedging in Indian Derivatives Market
Optimal Hedge Ratio and Hedge Efficiency: An Empirical Investigation of Hedging in Indian ... irrespective of time of observation. In reality, in a direct hedge, the basis must decline over the life of ...- Authors: Svd Nageswara Rao, Sanjay Kumar Thakur
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Natural Hedging of Life and Annuity Mortality Risks
Natural Hedging of Life and Annuity Mortality Risks The values of life insurance and annuity liabilities ... goods, mean- ing that the price variable is a primary source of competition among in- surance industry ...- Authors: Samuel Cox, Yijia Lin
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Experience Studies & Data>Mortality; Finance & Investments>Portfolio management - Finance & Investments