Index-linked catastrophe instrument valuation

Index-linked catastrophe instrument valuation

This thesis proposes four contributions to the literature on index-linked catastrophe instrument valuation. Invariably, any exercise to find index-linked catastrophe instrument prices involves three key steps: construct a suitable arbitrage-free valuation model, estimate the parameters for the under...

Full description

Bibliographic Details
Main Author: Giuricich, Mario Nicolo
Other Authors: Burnecki, Krzysztof
Format: Doctoral Thesis
Language:English
Published: University of Cape Town 2019
Subjects:
Quantitative Finance
Online Access:http://hdl.handle.net/11427/29642

Internet

http://hdl.handle.net/11427/29642

Similar Items