2006, 11, 12

[hw0799]

2006, 8v: 11:
e/f: how to use interest rate caps / floors or interest rate swaps to price SPDA?

I think this question could be relevent to our exam, but no clue... :crazy:

2006, 8v: 12:
is this question still relevent to APM? the "contingent claim approach" ring a bell, but the "participate level" is something not familiar.

what is "French 'with profit' policies"?
it sounds like a call option .....

it will use merton's model to value the debt, but where to put the "participate level?" Thanks.

[campbell]

For number 12, that reading is not on APM. It had to do with participation level for a "with profits" product (that's a par life product in the U.S.). We didn't have anything on par products, if I remember correctly.

[rekrap]

For #11, that reading (Griffin - Excess Spread) is also not on APM. The Ho Total Return Approach (which is still on the reading) uses an SPDA as an example, though it is not applicable to parts e/f. Interest rate caps/floors were discussed in Hull Ch 26 (which is not on APM).