Determination of a corporation’s cost of debt capital is an important exercise for both corporate
treasurers and bankers. Term structure models have been widely applied to determine …

When a new futures contract is proposed, the following two questions are often asked:(1)
who can benefit by trading in this contract and (2) how should this contract be priced? The …

This paper provides a closed form solution for the value of a multiple claim insurance contract
that is subject to a deductible amount and/or an upper limit on claims. The solution is a …

This paper values a contingent claim to discrete stochastic cash flows generated by a Poisson
arrival process with a randomly varying intensity parameter. In the most general case, …

… Shimko, David C. … 責任表示 David C. Shimko …

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This paper values correlated future cash flows when idiosyncratic risk earns a premium. For
example, single period RAROC-style valuations used by financial institutions can be …

Previous academic research reveals that mean-variance asset pricing (MVAP) models such
as the single-period capital asset pricing model (CAPM) fail to produce rational European …

… DC Shimko …

As the forward states," The Second Edition of Insurance Company Finance and Investments
(ICFI) was written specifically to prepare students to meet the current educational objectives …