Results 21 to 30 of about 2,133 (266)
A new credit derivatives pricing model under uncertainty process
Systems Science & Control Engineering, 2018 Due to many uncertainties in the financial market, the pricing process of credit derivatives has not only the characteristic of randomness but also nonrandom uncertainties. Thus, the absence of uncertain factors will make the pricing model and the actual
Liang Wu, Ya-ming Zhuang
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LIBOR Fallback and Quantitative Finance
Risks, 2019 With the expected discontinuation of the LIBOR publication, a robust fallback for related financial instruments is paramount. In recent months, several consultations have taken place on the subject.
Marc Pierre Henrard
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Credit derivatives and loan pricing [PDF]
Journal of Banking & Finance, 2007 This paper examines the relationship between the new markets for credit default swaps (CDS) and the pricing of syndicated loans to U.S. corporates. We find that changes in CDS spreads have a significantly positive coefficient and explain about 25% of subsequent monthly changes in aggregate loan spreads during 2000-2005.
Norden, Lars, Weber, Martin
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Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach
Entropy, 2020 This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory.
Jussi Lindgren
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A Numerical solution for the new model of time-fractional bond pricing: Using a multiquadric approximation method [PDF]
Mathematics and Modeling in Finance, 2022 The bond market is an important part of the financial markets . The coupon bonds are issued by companies or banks for increasing capital , and the interest is paid by banks or companies, periodically . In terms of maturities , bonds are ...
Sedighe sharifian +2 more
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Pricing Weather Derivatives [PDF]
The Journal of Risk Finance, 2000 This article briefly reviews the background of weather derivatives. The primary goal is to develop a pricing scheme that accommodates and reflects their unique characteristics. Because the underlying indexes of weather derivatives are not traded, a no‐arbitrage model cannot be directly applied for the purpose of pricing.
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Finite Difference Method for the Multi-Asset Black–Scholes Equations
Mathematics, 2020 In this paper, we briefly review the finite difference method (FDM) for the Black−Scholes (BS) equations for pricing derivative securities and provide the MATLAB codes in the Appendix for the one-, two-, and three-dimensional numerical ...
Sangkwon Kim +3 more
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Investors’ perspective on forecasting crude oil return volatility: Where do we stand today?
Journal of Management Science and Engineering, 2022 In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance.
Li Liu +3 more
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PRICING DERIVATIVES IN HERMITE MARKETS [PDF]
International Journal of Theoretical and Applied Finance, 2019 We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion (FBM) and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we introduce a strategy-specific arbitrage tax on the rate of transaction volume acceleration of the hedging portfolio as the prices of risky assets change,
STOYAN V. STOYANOV +3 more
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A reduced-form intensity model containing noise interference
Systems Science & Control Engineering, 2019 OTC financial derivatives are non-standardized face-to-face financial contracts its trading environment is characterized by less information, information disclosure may be distorted, and no exchange protection. It results in asymmetric information on the
Dong-wei Shi, Dong-e Bao, Liang Wu
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