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we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …
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The value of preventing a fatality or (saving) a statistical life is an important question in health economics as well as environmental economics. This paper reviews and adds new insights to several of the issues discussed in the literature. For example, how do we define the value of a...
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In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is...
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