Valuation of Interest-Sensitive Financial Instruments: SOA Monograph M-FI96-1 - Softcover

Babbel, David F.

 
9781883249151: Valuation of Interest-Sensitive Financial Instruments: SOA Monograph M-FI96-1

Inhaltsangabe

Valuations of Interest-Sensitive Financial Instruments provides in-depth analysis of the development and underpinnings of models that are essential to the financial analyst or valuation actuary. Complete coverage includes: spot and forward interest rates, discrete- and continuous-time one-factor models, multi-factor discrete- and continuous-time models, and simulation approaches.

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Über die Autorin bzw. den Autor

David F. Babbel is a professor at the Wharton School at the University of Pennsylvania, a financial consultant for several large insurance companies. He has published prolifically in the academic and professional literature on asset/liability management, insurance, and fixed income investments.
Craig B. Merrill is Associate Professor at Brigham Young University and the Grant Taggart Fellow of Insurance, Risk Management, and Financial Services.

Von der hinteren Coverseite

Valuations of Interest-Sensitive Financial Instruments provides in-depth analysis of the development and underpinnings of models that are essential to the financial analyst or valuation actuary. Complete coverage includes: spot and forward interest rates, discrete- and continuous-time one-factor models, multi-factor discrete- and continuous-time models, and simulation approaches.

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