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Valuation of cash flows under random rates of interest: A linear algebraic approach

  • Date, P.
  • Mamon, R.
  • Wang, I.C.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4MBJXX9-1/2/a9c2e296bdfd15bb04e7bd6ebb57672f
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 41 (2007)
    Issue (Month): 1 (July)
    Pages: 84-95

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    Handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:84-95
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    1. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
    2. Zaks, Abraham, 2001. "Annuities under random rates of interest," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 1-11, February.
    3. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    4. Burnecki, Krzysztof & Marciniuk, Agnieszka & Weron, Aleksander, 2003. "Annuities under random rates of interest--revisited," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 457-460, July.
    5. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
    6. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
    7. KOCH, Inge & DE SCHEPPER, Ann, . "General annuities under truncate stochastic interest rates," Working Papers 2004016, University of Antwerp, Faculty of Applied Economics.
    8. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    9. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
    10. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
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