[کتاب][B] Mathematical models of financial derivatives

YK Kwok - 2008‏ - Springer
In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

Mortality derivatives and the option to annuitise

MA Milevsky, SD Promislow - Insurance: Mathematics and Economics, 2001‏ - Elsevier
Most US-based insurance companies offer holders of their tax-sheltered savings plans
(VAs), the long-term option to annuitise their policy at a pre-determined rate over a pre …

Financial valuation of guaranteed minimum withdrawal benefits

MA Milevsky, TS Salisbury - Insurance: Mathematics and Economics, 2006‏ - Elsevier
Financial valuation OF GMWBs: We develop a variety of methods for assessing the cost and
value of a very popular 'rider'available to North American investors on variable annuity (VA) …

Spectral expansions for Asian (average price) options

V Linetsky - Operations Research, 2004‏ - pubsonline.informs.org
Arithmetic Asian or average price options deliver payoffs based on the average underlying
price over a prespecified time period. Asian options are an important family of derivative …

Web portal functionality and state government e-service

JP Gant, DB Gant - Proceedings of the 35th Annual Hawaii …, 2002‏ - ieeexplore.ieee.org
This paper reports the results of a study investigating the role of Web portals in state
government electronic service delivery. We describe the functionality of the fifty US state …

[کتاب][B] Statistical methods for financial engineering

B Remillard - 2013‏ - books.google.com
While many financial engineering books are available, the statistical aspects behind the
implementation of stochastic models used in the field are often overlooked or restricted to a …

[PDF][PDF] Pricing Asian and basket options via Taylor expansion

N Ju - Journal of Computational Finance, 2002‏ - academia.edu
Asian options belong to the so-called path-dependent derivatives. They are among the most
difficult to price and hedge, both analytically and numerically. Basket options are even …

Pricing Asian options under a hyper-exponential jump diffusion model

N Cai, S Kou - Operations Research, 2012‏ - pubsonline.informs.org
We obtain a closed-form solution for the double-Laplace transform of Asian options under
the hyper-exponential jump diffusion model. Similar results were available previously only in …

[کتاب][B] The Oxford Guide to financial modeling: Applications for capital markets, corporate finance, risk management and financial institutions

TSY Ho, SB Lee - 2004‏ - books.google.com
The essential premise of this book is that theory and practice are equally important in
describing financial modeling. In it the authors try to strike a balance in their discussions …

Self-annuitization and ruin in retirement

MA Milevsky, C Robinson - North American Actuarial Journal, 2000‏ - Taylor & Francis
At retirement, most individuals face a choice between voluntary annuitization and
discretionary management of assets with systematic withdrawals for consumption purposes …