Valuation of structured products
G Deng, T Husson, C McCann - The Journal of Alternative …, 2014 - jai.pm-research.com
The market for structured products has grown dramatically in the past decade. Their diversity
and complexity have led to the development of many different valuation approaches, and it …
and complexity have led to the development of many different valuation approaches, and it …
Move-based hedging of variable annuities: A semi-analytic approach
In this paper, we propose a semi-analytic algorithm for measuring the mean and variance of
the cost associated with a two-sided move-based hedging of options written on an …
the cost associated with a two-sided move-based hedging of options written on an …
Analysing structured products using partial differential equations
A Kabtoul - 2021 - digitalcollection.zhaw.ch
In this thesis, the common special features and the main assumptions of valuing and pricing
Structured Products are analysed. The method reviewed uses one dimensional modelling in …
Structured Products are analysed. The method reviewed uses one dimensional modelling in …
[BOOK][B] Collateral Management and Structured Product Valuation
M Ndoye - 2015 - search.proquest.com
This thesis provides various contributions on the subjects of counterparty risk and structured
product valuation. Concerning counterparty risk, we propose new flexible and effective …
product valuation. Concerning counterparty risk, we propose new flexible and effective …
Hedging Cost Analysis of Put Option with Applications to Variable Annuities
P Wu - 2014 - library-archives.canada.ca
Variable annuities (VA) are equity-linked annuity contracts which provide the opportunity for
policy-holders to benefit from financial markets appreciation and at the mean time provide …
policy-holders to benefit from financial markets appreciation and at the mean time provide …