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Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk [PDF]
It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often under the name of `change of numeraire', but in recent work it was shown ...
Jiri Hoogland +2 more
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A Benchmark Approach to Investing and Pricing [PDF]
This paper introduces a general market modeling framework, the benchmark approach, which assumes the existence of the numeraire portfolio. This is the strictly positive portfolio that when used as benchmark makes all benchmarked nonnegative portfolios ...
Eckhard Platen
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Actuarial versus Financial Pricing of Insurance [PDF]
This paper grew out of various recent discussions with academics and practitioners around the theme of the interplay between insurance and finance. Some issues were: The increasing collaboration between insurance companies and banks The emergence of ...
Paul Embrechts
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Pricing American derivatives and interest rates derivatives based on characteristic function of the underlying asset returns [PDF]
, 2003 PhDIn this thesis I introduce a new methodology for pricing American options when the underlying model of the asset price allows for stochastic volatility and/or it has a multi-factor structure.
Wang, Shijun
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Pricing the Risk of Recovery in Default with APR Violation [PDF]
This paper proposes a simple approach to infer the risk neutral density of recovery rates implied by the prices of the debt securities of a firm. The proposed approach is independent of modeling default arrival rates and allows for the violation of ...
Dilip Madan, Haluk Unal, Levent Güntay
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Political culture, the U.S. securities and exchange commission, and the internationalization of securities trading [PDF]
, 2000 For at least three decades, there have been demands from several quarters, both foreign and domestic, for the U. S. Securities and Exchange Commission (SEC) to ease restrictive disclosure requirements upon foreign securities issuers to facilitate their ...
Kirsch, R.J.
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Interlinking securities settlement systems: A strategic commitment? [PDF]
Central securities depositories (CSDs) have opened mutual links, but most of them are seldom used. Why are idle links established? By allowing a foreign CSD to offer services through the link the domestic CSD invites competition.
Kauko, Karlo
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Short-term municipal securities [PDF]
An abstract for this article is not availableMunicipal finance ...
John R. Walter
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Tail Estimation and Catastrophe Security Pricing: Can We Tell What Target We Hit if We Are Shooting in the Dark? [PDF]
The past few years have seen the development and growth of traded securities with payoffs tied to natural disasters. With this comes a need for tools to evaluate the underlying risks involved.
James F. Moore
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