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...

For full replication of a stock index one has to multiply the weights of the index with the desired index multiple in order to receive the corresponding share volumes. If rounding of the theoretical values is done the usual way, the desired replication result is missed to an extent greater than...

Open positions in futures are rarely held until expiration. Typically, the position will be closed out earlier, a so called early unwinding takes place. The early unwinding could be triggered by the fact that the futures price hits a pre-specified level. For instance, the investor could give a...

The paper introduces a Black\amp;Cox-type structural model for credit default swaps. The existing literature on structural CDS pricing is extended by allowing a general functional form for the default barrier specified without reference to asset volatilities, dividend yields and interest rates....

A stochastic model is developed to explain how the early unwinding propensity of market participants in financial futures markets can lead to a strong concentration of the trading volume on the nearby contract. In this model the position closing behavior of the market participants is captured by...