The gradient allocation principle, which generalizes the most popular specific allocation principles, is commonly proposed in the literature as a means of distributing a financial institution's risk capital to its constituents. This paper is concerned with the axioms defining the coherence of...

We develop a quantitative model for structured microfinance instruments, which are regarded as an important means for refinancing microfinance institutions. The quantitative credit risk model presented takes into account the peculiarities of microfinance institutions and can be used for pricing...

We derive the Green's function for the Black-Scholes partial differential equation with time-varying coefficients and time-dependent boundary conditions. We provide a thorough discussion of its implementation within a pricing algorithm that also accommodates American style options. Greeks can be...

We examine four European stock indices and the prices of eight major German stocks for indications of psychological barriers. The frequency, (expected) returns, intraday volatility and trading volume of these assets are studied contingent on whether the prices lie within a certain range around...

This paper investigates empirically smoothing-out ratios and average holding periods of different Eurex futures such as the Euro-Bund, the DAX, the DJ Euro STOXX 50 future and others from 1999 to 2002. A methodology that only needs daily volume and open interest data is presented (including an...

This article analyses the initial public offering (IPO) underpricing issue of 237 new A-shares from 2002 to 2004, shortly before the IPO suspension in the Chinese domestic market. The data set comes out with an initial return mean of 88.67%, an average market-adjusted initial return of 89.61%...