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The recent crisis and the following flight to simplicity put most derivative businesses
around the world under considerable pressure. We argue that the traditional mod-
eling techniques must be exte...
A Subjective and Probabilistic Approach to Derivatives
Subjective Probabilistic Approach Derivatives
2010/10/18
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular,...
Hedging Pure Endowments with Mortality Derivatives
Mortality Derivatives Pricing of Securities
2010/12/13
In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk...