This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...

In the continuous-time finance literature, it is claimed that the expected rate of return of underlying asset does not affect the option pricing model. This paper has shown that with no arbitrage, i.e., under the Arbitrage (Gordan) theorem, different underlying asset price processes used in the...

In this notice we are comment popular approaches to the credit risk modeling.

This paper deals with the option-pricing problem. In the first part of the paper we study in details the discrete setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the old and the new approaches. The main qualitative...

This article investigates price and trading volume relations for near term crude oil contracts at the New York Mercantile Exchange (NYMEX). The study investigates the informativeness of after-hours trading under the prior assumption that daytime and after-hours trading sessions are completely...

This study uses a vector error correction (VEC) model to examine price-volume relationships between open outcry and e-trading at the Chicago Board of Trade. We test whether equilibrium price corrections on one system are independent of the other, and whether this price behavior is more sensitive...

We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be alculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of...

We discuss the efficiency of the spectral method for computing the value of the European Call Options, which is based upon the Fourier series expansion. We propose a simple approach for computing accurate estimates. We consider the general case, in which the volatility is time dependent, but it...

We propose to discuss the efficiency of the spectral method for computing the value of Double Barrier Options. Using this method, one may write the option price as a Fourier series, with suitable coefficients. We propose a simple approach for its computing. One consider the general case, in...