18 citations · 65 across the 31 of their papers we have counts for
Showing 2017 · q-fin.MFShow all
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q-fin.MF2017
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity
Kevin Fergusson, Eckhard Platen
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure.…
q-fin.MF2017
Fast Quantization of Stochastic Volatility Models
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz +1
Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is ineffi…