SOA QFI Track 参考书超全大合集

https://bbs.pinggu.org/thread-6906828-1-1.html

文章名称：Proxy functions for the projection of Variable Annuity Greeks

作者：Aubrey Clayton, Phd   Steven Morrison, Phd   Craig Turnbull FIA   Naglis Vysniauskas

出版信息：Moody's Analytics, November 2013

共16p，文字版（非扫描版）PDF

目录：

1. Introduction

2. Example liability and valuation model

3. Fitting methodology for multi-period Greeks

    Method1: Estimate values -> Fit value proxy function -> Differentiate

    Method2: Estimate Greeks -> Fit Greeks proxy function (global regression)

    Method3: Estimate Greeks -> Fit Greeks proxy function (local regression)

4. Case study: Fits and Validations

5. Hedge portfolio projection

    Illustrative Simulation 1: Option matures out-the-money

    Illuatrative Simulation 2: Option matures in-the-money

6. Summary and conclusions

References