We propose a fairly general framework which allows one to perform Credit Value Adjustment (CVA) computations for a contract with bilateral counterparty risk in the presence of (a) systemic risk and (b) wrong-way or right-way risks. Our methodology focuses on the role of alternative settlement...

Properties of conditional expectation and metric projection for multivariate symmetric stable distributions are studied. Linear filtering, smoothing, and prediction problems for a discrete time stable linear model with constant coefficients are solved.

The aim of the present paper is mostly expository, namely, we intend to provide a concise presentation of arbitrage pricing and hedging of European contingent claims within the Heath, Jarrow and Morton frame-work introduced in Heath et al. (1992) under deterministic volatilities. Such a special...

<title>Abstract</title> Foreign exchange options are studied in the Heston stochastic volatility model for the exchange rate combined with the Cox <italic>et al</italic>. dynamics for the domestic and foreign stochastic interest rates. The instantaneous volatility is correlated with the dynamics of the exchange rate return,...