Forward measure

Results: 71



#Item
1A Law of Large Numbers approach to valuation in life insurance Tom Fischer∗ Heriot-Watt University, Edinburgh First version: March 17, 2003 This version: February 17, 2006

A Law of Large Numbers approach to valuation in life insurance Tom Fischer∗ Heriot-Watt University, Edinburgh First version: March 17, 2003 This version: February 17, 2006

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Source URL: www.statistik-mathematik.uni-wuerzburg.de

Language: English - Date: 2014-02-26 07:25:48
2Energy Spot Price Models and Spread Options Pricing Samuel Hikspoors and Sebastian Jaimungal ∗ a

Energy Spot Price Models and Spread Options Pricing Samuel Hikspoors and Sebastian Jaimungal ∗ a

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Source URL: www.bbk.ac.uk

Language: English - Date: 2007-03-27 13:47:18
3Sentiment Lost: the Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set Carlo Sala∗ Giovanni Barone-Adesi†

Sentiment Lost: the Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set Carlo Sala∗ Giovanni Barone-Adesi†

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Source URL: www.cb.cityu.edu.hk

Language: English - Date: 2016-07-08 02:30:24
4PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER G¨ oteborg University Abstract. We investigate the pricing of swing options in a model where the

PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER G¨ oteborg University Abstract. We investigate the pricing of swing options in a model where the

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Source URL: www.bbk.ac.uk

Language: English - Date: 2007-03-27 13:47:19
5(Almost) Model-Free Recovery ∗ Paul Schneider†and Fabio Trojani‡ January 9, 2016

(Almost) Model-Free Recovery ∗ Paul Schneider†and Fabio Trojani‡ January 9, 2016

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Source URL: www.cb.cityu.edu.hk

Language: English - Date: 2016-07-08 02:31:25
6An Anatomy of the Equity Premium∗ Paul Schneider† January 9, 2016 Abstract This paper introduces a decomposition of the forward market return in terms of higher-order realized, and option-implied risk aversion, conne

An Anatomy of the Equity Premium∗ Paul Schneider† January 9, 2016 Abstract This paper introduces a decomposition of the forward market return in terms of higher-order realized, and option-implied risk aversion, conne

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Source URL: www.cb.cityu.edu.hk

Language: English - Date: 2016-07-08 02:31:01
7ANALYSIS technical How to value a coco Converting default risk into conversion risk provides a method for valuing contingent convertibles, according to Patrick Cheridito and Zhikai Xu

ANALYSIS technical How to value a coco Converting default risk into conversion risk provides a method for valuing contingent convertibles, according to Patrick Cheridito and Zhikai Xu

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Source URL: www.princeton.edu

Language: English - Date: 2014-10-21 18:01:47
8DELFT UNIVERSITY OF TECHNOLOGY REPORTOn Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates Lech A. Grzelak, Cornelis W. Oosterlee

DELFT UNIVERSITY OF TECHNOLOGY REPORTOn Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates Lech A. Grzelak, Cornelis W. Oosterlee

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Source URL: www.ewi.tudelft.nl

Language: English - Date: 2011-05-11 08:16:59
9Microsoft Word - cap_insure_compensate_ssrn.doc

Microsoft Word - cap_insure_compensate_ssrn.doc

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Source URL: www.pik-potsdam.de

Language: English - Date: 2013-05-13 14:36:06
10DELFT UNIVERSITY OF TECHNOLOGY REPORTAn Equity-Interest Rate Hybrid Model With Stochastic Volatility And The Interest Rate Smile Lech A. Grzelak, Cornelis W. Oosterlee

DELFT UNIVERSITY OF TECHNOLOGY REPORTAn Equity-Interest Rate Hybrid Model With Stochastic Volatility And The Interest Rate Smile Lech A. Grzelak, Cornelis W. Oosterlee

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Source URL: www.ewi.tudelft.nl

Language: English - Date: 2011-05-11 08:16:58