This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is …

This article studies four transform pricing methods in the context of generalequilibrium (GE) framework. The four … among actuarial literature and practice. The transform pricing methodsoffer a convenient solution to contingent claim … pricing problem when the underlyingrisk exposure cannot be fully hedged. We show analytically that these fourmethods are …

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …

This paper introduces a new method for pricing European style call options with GARCH models. The resulting pricing …

The present article brings to the fore the issue of the fair pricing of hedging against climatic risks in Bulgaria by …

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …