We suggest an improved FFT pricing algorithm for discretely sampled Asian options with general independently distributed returns in the underlying. Our work complements the studies of Carverhill and Clewlow (1992), Benhamou (2000), and Fusai and Meucci (2008), and, if we restrict our attention...

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are...

We suggest an improved FFT pricing algorithm for discretely sampled Asian options with general independently distributed returns in the underlying. Our work complements the studies of Carverhill and Clewlow [Risk, 1990, 3(4), 25-29], Benhamou [J. Comput. Finance, 2002, 6(1), 49-68], and Fusai...

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the...

<section xml:id="fut21647-sec-0001"> We present a joint Monte Carlo‐Fourier transform sampling scheme for pricing derivative products under a Carr–Geman–Madan–Yor (CGMY) model (Carr et al. [Journal of Business, 75, 305–332, 2002]) exhibiting jumps of infinite activity and finite or infinite variation. The approach relies...</section>

Operational risk data sets have two types of sample selection problems: truncation below a given threshold due to data that are not recorded and random censoring above that level caused by data that are not reported. This paper proposes a model for operational losses that improves the internal...

External data can often be useful in improving estimation of operational risk loss distributions. This paper develops a systematic approach that incorporates external information into internal loss distribution modelling. The standard statistical model resembles bayesian methodology or...

Hiquest;gh, Linton and Nielsen (2006) showed that the famous result in the reward winning paper of Froot and Stein (1998) is not correct in the sense that their result does not follow from their assumptions. In this paper we show that the economic intuition behind the paper of Froot and Stein...

This paper considers Danish insurance business lines, for which the pricing methodology recently has been dramatically upgraded. A costly affair, but nevertheless the benefits greatly exceed the costs; without a proper pricing mechanism, you are simply not competitive. We show that experience...