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

ISBN: 978-1-883249-15-1
155 pages
November 1996
Valuation of Interest-Sensitive Financial Instruments: SOA Monograph M-FI96-1 (1883249155) cover image
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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Preface.

Acknowledgments.

1. Spot Interest Rates, Forward Interest Rates, Short Rate, and Yield-to-Maturity.

2. An Introduction to Valuation of Fixed and Interest-Sensitive Cash Flow.

3. Discrete-Time One-Factor Models.

4. Continuous-Time One-Factor Models.

5. Solution Approaches to Single-Factor Models.

6. Multi-Factor Continuous-Time Models.

7. Multi-Factor Discrete-Time Models.

8. Simulation Approaches.

Bibliography.

Solution to Practice Exercises.

Index.
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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.
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