In this article, we present two option pricing models of optimal security portfolio in real world measure. We use multi-Vasicek model to describe the change pattern of the return of security portfolio with time varying correlation. Explicit expressions of call and put option prices are obtained....

In this article, we present two option pricing models of optimal security portfolio in real world measure. We use multi-Vasicek model to describe the change pattern of the return of security portfolio with time varying correlation. Explicit expressions of call and put option prices are obtained....

This paper addresses the expansion and performance of non-standard mortgage lending products to better understand the impact of such products on borrowers and the financial system. We show that ex ante measured credit risk of these instruments increased and this risk was mispriced. We also...