We devise simulation/regression numerical schemes for pricing the CVA on CDO tranches, where CVA stands for Credit …

liquidity from the issuer of the covered bonds. This study provides the first pricing method for covered bonds and is based on a … with Issuer Risk.We provide analytic pricing for Triggered Refreshed CDOs with or without Issuer Risk, i.e. covered bonds … simulation algorithm as an alternative pricing method. We analyze a hypothetical coverpool at the entity concentration level (e …

In incomplete market theory, the utility-based price and the indifference pricing have especially received much … attention in pricing methods using utility function. This paper constructs the framework to unite these two methods and analyzes …

We exploit a unique sample of structured financial products (SFPs) to analyze pricing and issuance dependencies among … different types of such market-linked investment vehicles. Our study provides evidence of cross pricing between products with … exploit the complementarity payout profiles when bringing SFPs to market. Our study emphasizes cross pricing from a …

technical derivation of the BSE and other the pricing definition of the option.In this paper, we show how the ambiguities in … ambiguities. In particular there are two problems which can be raise by accepting Black Scholes (BS) pricing concept. One is … derivation of the BSE can be eliminated. We pay attention to option as a hedging instrument and present definition of the option …

obtain the Laplace transform of futures option price in terms of the Laplace transform of the time-changed JCIR process …, which can then be efficiently inverted to yield the option price. By fitting our model to two major electricity markets in …

In this paper we develop a model of corporate bonds pricing. We begin with default definition which is similar to one …