The gamma class of distributions encompasses several important distributions either as special or limiting cases, or through simple transformations. In this paper, we established the link between the real and the risk neutral distributions, and provided a formal proof for the existence of the...

We derive closed form European option pricing formulae under the general equilibrium framework for underlying assets that have an <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$N$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>N</mi> </math> </EquationSource> </InlineEquation>-mixture of transformed normal distributions. The component distributions need not belong to the same class but must all be transformed normal. An...</equationsource></equationsource></inlineequation>

This paper develops a closed form risk-neutral valuation model for pricing European style options when the underlying has a mixture of transformed-normal distributions. Specifically, we introduce the mixture of g distributions, which contains the mixture of normal and lognormal distributions as...

The gamma class of distributions encompasses several important distributions, either as special or limiting cases or through simple transformations. Here we derived closed form and preference free European option pricing formulae for various (transformed) gamma distributions under the general...

This paper compares the pricing and hedging performance of the LMM model against two spot-rate models, namely Hull-White and Black-Karasinski, and the more recent Swap Market Model from an Asset-Liability-Management (ALM) perspective. In contrast to previous studies in the literature, our...

This paper tests the co-terminal swap market model (SMM) pricing and hedging performance on Bermudan swaptions. To our knowledge, the drift for SMM is derived explicitly for the first time here, and the procedures for calibration and simulation using a collection of forward swap rates are also...

This paper re-examines the issue of persistence and mean reversion in UK stock returns in the light of new developments published in Chow and Denning (1993). The random walk hypothesis is tested using multiple variance ratios for returns on the Financial Times All Share Index and 330 individual...

This paper re-examines the issues of persistence and mean reversion in UK stock returns in the light of new developments published in Chow and Denning (1993). The random walk hypothesis is tested using multiple variance ratios for returns on the Financial Times All Share Index and 330 individual...