Since the 2007 financial crisis, many central banks adopted policies to lower their interest rates, whose dynamics can not be captured using classical models. Recently, Meucci and Loregian (2016) proposed an approach to estimate nonnegative interest rates using the inverse-call transformation....

Negative interest rates are present in various marketplaces since mid-2014, following the negative interest rate policy (NIRP) adopted by the European Central Bank in order to lift the economic growth (and, therefore, the inflation). However, this policy involves difficulties for market...

Despite the suggestion made by investment banks and brokerage firms for private investors to substitute one or all part of their stock investment by the associated option, the real benefit obtained from dealing with an option rather than with its underlying stock remains to be understood. Using...

Benchmark models for the term structure and dynamic of the interest rate, having the instantaneous rate as the only state variable, were introduced by Vasicek (V) and Cox-Ingersoll-Ross (CIR). Then the measure of a zero-coupon bond price change with respect to any change of the short-term...

Hedging under a parallel shift of the interest rate curve is well-known for a long date in finance literature.However the situation is inaccurately formulated such that the obtained result is very questionable. Among the inconveniences which may be raised are the following: the time-passage is...

Hedging a bond position under a parallel shift of the interest rate has been largely considered and analyzed, though the underlying assumption is less realistic. Indeed both practical and theoretical reasons support the consideration to grant attention to this particular situation. Interest rate...