An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis
DOI10.1080/03461238.2015.1046087zbMath1401.91153OpenAlexW2280676655MaRDI QIDQ4575380
Søren Kærgaard Slipsager, Peter Løchte Jørgensen
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/110038664/An_analysis_of_a_three_factor_model_proposed_by_the_Danish_Society_of_Actuaries_for_forecasting_and_risk_analysis_postprint_2016.pdf
risk analysisMonte Carlo simulationforecastingexact simulationlocal sensitivity analysismulti-factor diffusion model
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Efficient Monte Carlo simulation of security prices
- Stochastic simulation: Algorithms and analysis
- A Theory of the Term Structure of Interest Rates
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
This page was built for publication: An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis
