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

Guojun Gan; Emiliano A. Valdez

Displaying similar documents to “Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets”

Dependent defaults and credit migrations

Tomasz R. Bielecki, Marek Rutkowski (2003)

Applicationes Mathematicae

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The paper deals with the modelling of mutually dependent default times of several credit names through the intensity-based approach. We extend to the case of multiple ratings some previous results due to Schmidt (1998), Kusuoka (1999) and Jarrow and Yu (2001). The issue of the arbitrage valuation of simple basket credit derivatives is also briefly examined. We argue that our approach leads, in some cases, to a significant reduction of the dimensionality of the valuation problem at hand. ...

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Fabio Fornari, Carlo Monticelli (1998)

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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...

The relationship between stock markets of major developed countries and Asian emerging markets.

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Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns.

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Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options

Alobaidi, Ghada, Mallier, Roland (2002)

Serdica Mathematical Journal

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∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1]. In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider...