By Hans Bühlmann (auth.), G. Ottaviani (eds.)
This e-book, released with the contribution of the Italian assurance corporation INA, includes the invited contributions offered on the third foreign AFIR Colloquium, held in Rome in 1993. The colloquium was once aimed toward encouraging learn at the theoretical bases of actuarial sciences, its interplay with the idea of finance and of company finance, including mathematical tools, equivalent to chance and the speculation of stochastic procedures. within the spirit of actuarial culture, awareness used to be given to the hyperlink among the theoretical method and the operative difficulties of economic markets and associations, and insurance firms particularly. The e-book is a vital reference paintings for college students and researchers of actuarial sciences and finance. it could actually even be steered to practitioners with theoretical interests.
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Hence we must have 11,>R>d (1) Given that the market is complete we can find a combination of the risky asset and the bond that pays off one unit in the up-state and zero in the downstate and another combination that pays off one unit in the down-state and zero in the up-state. These primitive securities are known as Arrow-Debreu securities and let us denote their current prices by ¢u and ¢d. It is easy to obtain their explicit expressions. R-d ¢u = R(11, - d) 11,-R ¢d=R(11,-d) (2) The no arbitrage condition, (equation (1)), implies that these prices are positive.
The one-period model can be extended to a multi-period model and ultimately to the continuous time Black Scholes model. The option pricing model prices a contingent pay-off in terms of currently traded assets. Indeed the model furnishes the current weights of the portfolio of the constituent assets that would ultimately replicate the target pay-off at maturity. It is important to note that the option model is a relative valuation model. It is silent on the issue of how the prices of the basic traded assets are obtained but it yields the current price of the option in terms of these assets.
Modelli e strategie. : Italian Treasury Credit Certficates (CCTs): Theory, Practice and Quirks. : Two Singular Diffusion Problems. : Discussion. : Pricing of Contingent Claims in the One Factor Term Structure Model. : The Valuation of Options on Coupon Bonds. : An Arbitrage Model of the Term Structure of Interest Rates. : The Pricing of Commodity-Linked Bonds. The lournal of Finance 37 (1982) 525-539 Risk-based Capital for Financial Institutions Phelim P. A. School of Accountancy, University of Waterloo, Waterloo, Ontario, N2L 3G1 Canada 1 Introduction, Background and Overview The issue of risk-based capital for financial institutions is of considerable current interest.