MFC White Papers

• Economic Scenario Generator for Insurance and Pension Rational Decision Making Under Uncertainty by Steven Craighead and Mark Tenney
• Foreign Exchange paper written by Mark Tenney and Mike Davlin: Pricing with Stochastic Foreign Exchange and Interest Rates
• Stochastic Asset Generators for Investment Portfolios of Bonds, Stocks, Real Estate, Commodities, and Foreign Assents Based on the Double Mean Reverting Process and the Vector Autoregressive Diffusion by Mark S. Tenney, Leon W. Tenney, and Justin Bobo
   

FinDer

• FinDer: http://www.cs.columbia.edu/~ap/ or http://www.cs.columbia.edu/~traub/html/body_patent_information.html
   

Beaglehole Tenney Related

• Citeseer
  Non-Linear Kalman Filtering Techniques for Term-Structure Models by Jesper Lund
• CLS Aarhus, Denmark
  (best downloaded before viewing)
  Efficient method of moments estimation of the Longstaff and Schwartz interest rate model by M. Berg Jensen
• Washington University St. Louis: Journal of Financial and Quantitative Analysis
  "Kalman Filtering of Generalized Vasicek Term Structure Models" by Simon H. Babbs and K. Ben Nowman
• SSRN: Abstract from Reviews of Derivatives Research Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach by JoÆo Pedro Vidal Nunes, Les Clewlow, and Stewart D. Hodges
• Columbia University Graduate School of Business
  Short Rate Nonlinearities and Regime Switches by Andrew Ang and Geert Bekaert
• WHU Koblenz Germany
  Quadratic Term Structure Models by Markus Leippold and Liuren Wu
• Santa Clara University
  Notes on Monte Carlo Methods for Pricing Derivatives by Sanjiv Das
• Wharton School University of Pennsylvania
  Economic Valuation Models for Insurers by David F. Babbel and Craig Merrill
  (Also available at ideas)
• University of Waterloo
  A Numerical PDE Approach for Pricing Callable Bonds by Y. d'Halluin, P.A. Forsyth, K.R. Vetzal, and G. Labahn
• University of Southern Denmark
  Price Bounds on Bond Options, Swaptions, Caps, and Floors Asuming Only Non-negative Interest Rates by Claus Munk
• The Hebrew University of Jerusalem: European Finance Review
  A Model for Studying the Effect of EMU on European Yield Curves by Jesper Lund
• University of Paris 10
  Fundamental Properties of Bond Prices in Models of the Short-Term Rate by Antonio Mele
   

Dynamic Dynamic-Programming

• Washington annual meeting
  Society of Actuaries
  (Record, Volume 23, No. 3)
  Washington D.C. Meeting
  October 26-29, 1997
  Dynamic Dynamic-Programming Solutions for the Portfolio of Risky Assets
  Moderator: Michael F. Davlin
  Presenter: Mark Tenney
  
  Published in
  
  General Insurance Convention & ASTIN Colloquium
  7-10 October 1998 Glasgow, Scotland.
  Papers Volume 2
  ISBN 0 901066 62 1 (Complete Set)
  ISBN 0 901066 64 8 (Volume 2)
  pages 227 - 240.
  
  A copy of the paper can also be ordered from the on-line library of The Faculty and Institute of Actuaries.
  Go to http://ioa.soutron.com/ioa/library/default.htm and search on author's name.
• View the paper "Dynamic Dynamic-Programming Solutions for the Portfolio of Risky Assets" in PDF form or (old) HP printable form: D_dynam.hp, or DVI format: D_DYNAM.DVI
• Download from Faculty of Actuaries (best to download before opening)
  Faculty of Actuaries download version

• Term Structure and Interest Rate Derivatives Literature compiled by Don Chance