MOMEN AKUMULASI DARI SUATU ANUITAS AWAL DENGAN TINGKAT BUNGA ACAK
This article discusses the three moments formed from the accumulation of due annuity with random interest rate. The highest moment of these three moments is obtained by first determining the previous two moments. Moment accumulation is used to predict the accumulation of profits expected by investors from an investment made during n periods.
Annuities Under Random Rates of Interest II
Some attempts were made to evaluate the future value (FV) of the expected value and the variance for various cash flows (CF). The motivation stemmed from some recursive formulas. This method does not apply directly to the evaluation of present values (PV). One can get some estimates for the PV using results about the FV. We will present a direct approach to evaluate the PV of both factors for some CF. It will turn to be similar to that used to evaluate the FV. Furthermore it makes it possible to study the PV of these CF directly, and may suggest a method to study some other CF as well.
Valuation of cash flows under random rates of interest: A linear algebraic approach
This paper reformulates the classical problem of cash ∞ow valuation under stochastic discount factors into a system of linear equations with random perturbations. Using convergence results, a sequence of uniform approximations is developed. The new formulation leads to a general framework for deriving approximate statistics of cash ∞ows for a broad class of models of stochastic interest rate process. We then show applications of the proposed method by pricing default-free and defaultable bonds. The methodology developed in this paper is applicable for a variety of uncertain cash ∞ow analysis problems.