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FS
2006
13 years 10 months ago
2006
Fads models were introduced by Shiller (1984) and Summers (1986) as plausible alternatives to the efficient markets/constant expected returns assumptions. Under these models, loga...
FS
2006
13 years 10 months ago
2006
We study the problem of finding optimal strategies for a life insurance company or pension fund that acts on behalf of an insured so as to maximize the expected utility (in a gene...
FS
2006
13 years 10 months ago
2006
We introduce a general approach to model a joint market of stock price and a term structure of variance swaps in an HJM-type framework. In such a model, strongly volatility-depend...
FS
2006
13 years 10 months ago
2006
Abstract. We present an iterative procedure for computing the optimal Bermudan stopping time, hence the Bermudan Snell envelope. The method produces an increasing sequence of appro...
FS
2006
13 years 10 months ago
2006
Abstract. Currently, there are two market models for valuation and risk management of interest rate derivatives, the LIBOR and swap market models. We introduce arbitrage-free const...