Igor Osmolovskiy

Cambridge Systems Associates Limited

5-7 Portugal Place

Cambridge, CB5 8AF

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

113

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

A Practical Robust Long Term Yield Curve Model

High Performance Computing in Finance, J Kanniainen, J Keane and E Vynckier, eds. Chapman & Hall CRC Financial Mathematics Series (2015), Forthcoming
Number of pages: 49 Posted: 02 Jul 2015 Last Revised: 26 Jan 2016
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research, Cambridge Systems Associates Limited and Cambridge Systems Associates Limited
Downloads 113 (249,285)
Citation 1

Abstract:

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yield curve, Gaussian affine models, Black correction, nonnegative rates, unscented Kalman filter, long term Monte Carlo simulation

2.

Life Cycle Goal Achievement or Portfolio Volatility Reduction?

Posted: 20 May 2019
University of Cambridge - Centre for Financial Research, Alexander Forbes Financial Services (Pty) Ltd, Cambridge Systems Associates Limited, University of Cambridge - Centre for Financial Research and Cambridge Systems Associates Limited

Abstract:

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Decision support system, Dynamic stochastic programming, Financial planning, Financial advice, Goals,Life cycle model, Retirement, Sustainable wealth, Risk management