Valuation of cash flows under random rates of interest: a linear algebraic approach
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Publication:997086
DOI10.1016/J.INSMATHECO.2006.10.001zbMATH Open1119.91043OpenAlexW2124852072MaRDI QIDQ997086FDOQ997086
Authors: P. Date, Rogemar Mamon, I-Chieh Wang 
Publication date: 19 July 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.10.001
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- Credit risk: Modelling, valuation and hedging
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Cited In (11)
- Pricing and risk management of interest rate swaps
- Stochastic approximations of present value functions
- Title not available (Why is that?)
- Martingale Valuation of Cash Flows for Insurance and Interest Models
- Interest rate modeling without probabilities
- The value of a liability cash flow in discrete time subject to capital requirements
- Sensitivity analysis of long-term cash flows
- An axiomatic approach to the valuation of cash flows
- An efficient approach for calculating default probabilities for cash-flow based project finance with reserve account
- A note on a simplified approach to the valuation of risky streams
- A linear algebraic method for pricing temporary life annuities and insurance policies
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