A penny saved is a penny earned: Less expensive zero coupon bonds
In this paper we show how to hedge a zero coupon bond with a smaller amount of initial
capital than required by the classical risk neutral paradigm, whose (trivial) hedging strategy …
capital than required by the classical risk neutral paradigm, whose (trivial) hedging strategy …
Explicit formulae for parameters of stochastic models of a discounted equity index using maximum likelihood estimation with applications
K Fergusson - Annals of Financial Economics, 2017 - World Scientific
A discounted equity index is computed as the ratio of an equity index to the accumulated
savings account denominated in the same currency. In this way, discounting provides a …
savings account denominated in the same currency. In this way, discounting provides a …
Recursive marginal quantization: extensions and applications in finance
R Rudd - 2018 - open.uct.ac.za
Quantization techniques have been used in many challenging finance applications,
including pricing claims with path dependence and early exercise features, stochastic …
including pricing claims with path dependence and early exercise features, stochastic …
Quantization under the real-world measure: Fast and accurate valuation of long-dated contracts
This paper provides a methodology for fast and accurate pricing of the long-dated contracts
that arise as the building blocks of insurance and pension fund agreements. It applies the …
that arise as the building blocks of insurance and pension fund agreements. It applies the …
Stochastic Interest Rate Model and Its Applications: A Case for India
S Poddar - Available at SSRN 3656505, 2020 - papers.ssrn.com
In this dissertation the main focus area was to use one factor interest rate models in India to
obtain the descriptive nature and risk profile of money markets in India. For the period of …
obtain the descriptive nature and risk profile of money markets in India. For the period of …