Displaying similar documents to “Dependent defaults and credit migrations”

Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets

Guojun Gan, Emiliano A. Valdez (2017)

Dependence Modeling

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Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. To facilitate the development and dissemination of research related to the effcient valuation...

Valuation Theory. Part I

Grzegorz Bancerek, Hidetsune Kobayashi, Artur Korniłowicz (2012)

Formalized Mathematics

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In the article we introduce a valuation function over a field [1]. Ring of non negative elements and its ideal of positive elements have been also defined.

Thoughts about Selected Models for the Valuation of Real Options

Mikael Collan (2011)

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

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This paper discusses option valuation logic and four selected methods for the valuation of real options in the light of their modeling choices. Two of the selected methods the Datar–Mathews method and the Fuzzy Pay-off Method represent later developments in real option valuation and the Black & Scholes formula and the Binomial model for option pricing the more established methods used in real option valuation. The goal of this paper is to understand the big picture of real option...