imbedded options, for pricing and hedging OTC derivatives with counterparty risk, for pricing and hedging (foreign) government … this process are easily estimated using observable data. This model is useful for pricing and hedging corporate debt with … bonds subject to default risk (e.g., municipal bonds), for pricing and hedging credit derivatives, and for risk management …

setting. The approach requires the assumption that the hedging error, properly defined, is non-priced or idiosyncratic risk … estate, and real options …

models are appropriate for the pricing and hedging of credit-risky securities. Directions for future research are discussed. …

This paper reviews the term structure of interest rates literature relating to the arbitrage-free pricing and hedging … of interest rate derivatives. Term structure theory is emphasized. Topics included are the HJM model, forward and futures …

This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … microstructure model for the bid-ask spread in options markets. We first construct a static equilibrium model to illustrate the …