Browsing Mathematics (Faculty of) by Author "Liu, Jie"
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Multivariate Time Series Analysis of the Investment Guarantee in Canadian Segregated Fund Products
Liu, Jie (University of Waterloo, 2008-05-23)In the context of the guarantee liability valuation, the sophisticated fund-of-funds structure, of some Canadian segregated fund products, often requires us to model multiple market indices simultaneously in order to ...