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Rethinking Valuation and Pricing Models by Greg N. Gregoriou, Christian Hoppe, Carsten Wehn

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21

On Correlations between a Contract and Portfolio and Internal Capital Alliocation

Sergei Esipov

Quant Isle Ltd.

21.1 Introduction

Modern financial contracts and insurance deals are characterized by swap-like positive and negative volatile cash flows. A company expecting such flows prepares itself in advance by setting aside a certain amount of capital for a specified period of time even ...

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