{"product_id":"2940013332492","title":"Indepedent study of Academy of Actuaries SLV Interest Rate Model","description":"This book reports on an independent study of the Academy of Actuaries Stochastic Log Volatility Interest Rate Model.  This is not in any way commissioned by the Academy of Actuaries.  This is the start of a series to review the Academy Economic Scenario Generator.\u003cbr\u003e\u003cbr\u003eThe Academy SLV model is a 3 factor interest rate model. The long term yield mean reverts to a target subject to stochastic volatility.  The spread mean reverts to a target.  The volatility of the long term rate is mean reverting.\u003cbr\u003e\u003cbr\u003eThis model is compared to the author's Double Mean Reverting Process (TM) and the improved Regime Switching version of the DMRP.  The Double Decay model of Beaglehole Tenney was praised by Bernanke for use in modeling the term structure.\u003cbr\u003e\u003cbr\u003eThis book is most useful for actuaries who use the Academy of Actuaries SLV model and ESG.  It is also useful to actuaries who use the DMRP model.  The DMRP is also sometimes called the Two Factor Black Karasinski model.  That model is widely used in Europe.\u003cbr\u003e\u003cbr\u003eThe material is at a basic level of instruction for users who do not have a mathematical background.  \u003cbr\u003e\u003cbr\u003eThe material can be used by actuaries, regulators, risk managers, and those involved in providing services to the above based on interest rate risk management.  It is less oriented to retail investors or insurance buyers or brokers.  All use is at the user's own risk with no warranty.\u003cbr\u003e\u003cbr\u003eThis material is a supplement to a presentation by Faye Albert and Mark S. Tenney at the Sep 12-13 2011 Valuation Actuary Symposium of the Society of Actuaries.\u003cbr\u003e\u003cbr\u003eActuarial students and finance students may gain insights into interest rate models and risk management using this material.","brand":"Mathematical Finance Company","offers":[{"title":"Default Title","offer_id":47079375241456,"sku":"2940013332492","price":9.99,"currency_code":"USD","in_stock":true}],"url":"https:\/\/shop-qa.barnesandnoble.com\/products\/2940013332492","provider":"Barnes \u0026 Noble (DEV)","version":"1.0","type":"link"}