Hampus Engsner: Multiperiod Liability valuation via functional composition

I will present a method of liability valuation based on regulatory requirements and cost-of-capital assumptions, which takes the form of a composition of functionals. This method of valuation can be seen as a special case of a broader class of valuations, for which closed-form values often do not exist, and where simulation is often unfeasible. I will present the closed-formula value Gaussian cashflows and time permitting, talk about approaches to continuous time-valuation.