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DC Field | Value | Language |
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dc.contributor.author | Date, P | - |
dc.contributor.author | Mamon, R | - |
dc.contributor.author | Wang, C | - |
dc.coverage.spatial | 14 | en |
dc.date.accessioned | 2007-01-03T11:05:52Z | - |
dc.date.available | 2007-01-03T11:05:52Z | - |
dc.date.issued | 2007 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 41(1): 84–95, Jul 2007 | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/493 | - |
dc.description.abstract | This paper reformulates the classical problem of cash flow valuation under stochastic discount factors into a system of linear equations with random perturbations. Using convergence results, a sequence of uniform approximations is developed. The new formulation leads to a general framework for deriving approximate statistics of cash flows for a broad class of models of stochastic interest rate process. We show applications of the proposed method by pricing default-free and defaultable cash flows. The methodology developed in this paper is applicable to a variety of uncertain cash flow analysis problems. | en |
dc.format.extent | 776001 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | Elsevier | en |
dc.subject | Stochastic interest rate models | en |
dc.subject | Linear systems | en |
dc.subject | Uniformly convergent approximation | en |
dc.title | Valuation of cash flows under random rates of interest: A linear algebraic approach | en |
dc.type | Preprint | en |
dc.identifier.doi | http://dx.doi.org/10.1016/j.insmatheco.2006.10.001 | - |
Appears in Collections: | Dept of Mathematics Research Papers Mathematical Sciences |
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Fulltext.pdf | 757.81 kB | Adobe PDF | View/Open |
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