The Black Scholes Model (BSM) is one of the most important concepts in modern financial theory both in terms of approach and applicability. The BSM is considered the standard model for valuing options; a model of price variation over time of financial instruments such as stocks that can, among...

This paper presents an overview of some general concepts and techniques of an adequacy estimation of simulation models of the banking business processes. A proposal on specific requirements for computer simulation models to banking activity re-engineering and optimization is formulated.

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include them in their computation of risk-based capital (RBC). The question is how to really evaluate those benefits. To compute the...

In the classical analysis many models used to real data description are based on the standard Brownian diffusion-type processes. However, some real data exhibit characteristic periods of constant values. In such cases the popular systems seem not to be applicable. Therefore we propose an...