The paper derives a parsimonious two-component affine diffusion model with one driving Brownian motion to capture the dynamics of oil prices. It can be observed that the oil price behaves in some sense similarly to the US dollar. However, there are also clear differences. To identify these the...

Although statistical term structure models provide exceptional in-sample fitting and out-of-sample forecasting of interest rates, the lack of theoretical background is criticized by academics and practitioners, such as the absent of arbitrage free. In this paper we develop a general...

This thesis models commodity prices and derivatives, written on commodity prices, under the benchmark approach. Under this approach, the commodity prices are modeled under the real world probability measure while the corresponding numeraire is the numeraire portfolio (NP), which is the growth...

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers

This paper suggests a short term interest rate model. It incorporates inflation rate, market variance, market net growth rate and market volatility trend. Empirical evidence from different markets supports the model

In this survey on last passage times, we propose a new viewpoint which provides a unified approach to many different results which appear in the mathematical finance literature and in the theory of stochastic processes. In particular, we are able to improve the assumptions under which some...

This paper derives explicit formulas for both the small and the large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run, even though they are negligible in the short time limit.

In this paper, we present an alternative approach as a suitable framework under which liability driven investments can be valued and hedged. This benchmark approach values both assets and liabilities consistently under the real world probability measure using the best performing portfolio, the...

This paper considers a new class of Monte Carlo methods that are combined with PDE expansions for the pricing and hedging of derivative securities for multidimensional diffusion models. The proposed method combines the advantages of both PDE and Monte Carlo methods and can be directly applied to...

The paper proposes a financial market model that generates stochastic volatility and stochastic interest rate using a minimal number of factors that characterise the dynamics of the different denominations of the deflator. It models asset prices essentially as functionals of square root and...