This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...

In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of a portfolio assets. Our approach close but it does...

This paper presents a fallacy of the Black and Scholes' (BS) option pricing concept. The BS pricing is still the unique theoretical way for pricing derivatives though quite a large number of expert have found a lot of remarks concerning its theoretical and practical failings. We should note that...

We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive...

In this paper we begin with details of the no arbitrage pricing scheme. It is common to call the pricing approach no arbitrage if it is impossible to receive a positive profit on a contract starting from zero investment at initiation date. We specify no arbitrage pricing by a) initiation and...

In this paper we develop a model of corporate bonds pricing. We begin with default definition which is similar to one that is used in the standard reduced form of default model. The primary distinction between our model and reduced form of default model is interpretation of the date-t price of...