Temat: Finance, portfolios, investment - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Interest rate models
Autorzy:: Palczewski, Andrzej
Powiązania:: https://bibliotekanauki.pl/articles/748527.pdf
Data publikacji:: 2002
Wydawca:: Polskie Towarzystwo Matematyczne
Tematy:: Finance, portfolios, investment
Diffusion processes
Opis:: .
This is a well-written survey paper on post-Heath-Jarrow-Morton interest rate models. The bond pricing and term structure are based on time-dependent continuous-time diffusions, and the main particular cases, including LIBOR and SWAP, are studied in detail.
Źródło:: Mathematica Applicanda; 2002, 30, 44/03
1730-2668
2299-4009
Pojawia się w:: Mathematica Applicanda
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Approximation of the probability of insolvability of a portfolio
Autorzy:: Pusz, Robert
Rolski, Tomasz
Powiązania:: https://bibliotekanauki.pl/articles/747757.pdf
Data publikacji:: 2005
Wydawca:: Polskie Towarzystwo Matematyczne
Tematy:: Finance, portfolios, investment
Approximations to distributions (nonasymptotic)
Opis:: The authors review and criticize different approaches for calculations of ruin probabilities in one or multiperiod life insurance portfolios. They claim that precise calculations are time-consuming and in some cases (especially in the multiperiod ones) are practically inaccessible even if theoretical formulae are available. The reviewer considers that, because parameters of any such model must be estimated somehow, then precision in calculations cannot be achieved. For example, the authors assume a constant interest rate, which is not precisely the best way of doing things for the multiperiod model, and the precision must be lost anyway. Particularly, the authors show that the use of the central limit theorem is not appropriate; errors are large. The precise recursive method is difficult to perform for a large portfolio. The authors propose the importance of the Monte Carlo sampling method instead of the crude one. Their estimations are based on some probabilistic inequalities such as a version of Chernoff's (saddle point), also analyzed by S. Asmussen [Stochastic simulation with a view toward stochastic processes, Univ. Aarhus, Aarhus, 1999; Zbl 0981.65013], and are related to the approximation from D. Blackwell and J. L. Hodges, Jr. [Ann. Math. Statist. 30 (1959), 1113–1120; MR0112197].
Źródło:: Mathematica Applicanda; 2005, 33, 47/06
1730-2668
2299-4009
Pojawia się w:: Mathematica Applicanda
Dostawca treści:: Biblioteka Nauki

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