1. A Default Probability Mapping Model for Pricing andManaging CVAA.Gigli, E. Renzetti August 2014 2. 2DISCLAIMERThe views expressed in this presentation are those of the…
Slide 1 The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case Laura Ballotta,Steven Haberman Slide 2 1. introduction 2. A valuation…
Slide 1 Putting the Power of Modern Applied Stochastics into DFA Peter Blum 1)2), Michel Dacorogna 2), Paul Embrechts 1) 1) ETH Zurich Department of Mathematics CH-8092 Zurich…
Slide 1 Forward-Looking Market Risk Premium Weiqi Zhang National University of Singapore Dec 2010 Slide 2 Background Estimating risk premium Historical average of realized…
Slide 1 Hedging the Asset Swap of the JGB Floating Rate Notes Jiakou Wang Presentation at SooChow University March 2009 Slide 2 Contents 1. Introduction 2. Pricing the ASW…
Hedging the Asset Swap of the JGB Floating Rate Notes Jiakou Wang Presentation at SooChow University March 2009 Contents 1. Introduction 2. Pricing the ASW 3. Hedging the…
Electronic copy available at: http://ssrn.com/abstract=2043503 Robust Calculation of MFIV from Calibrated Surfaces Philip Stahl∗and Philipp B. Rindler† Working Paper…