In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the...

In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non-perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the...

This paper generalizes the result of Leland (1985) to hedging strategies that use not only the underlying but all kinds of otions. These hedging strategies are a generalization of static hedging. In addition, the result is valid for all shapes of payoff, including path-dependent. Two cases of...

Securitization has been a subject of interest in the security design literature, and various models have been developed in order to explain why such transactions should produce senior securities and junior securities. However securitization structures are far more complex than a simple tranching...

This paper analyses investment decisions under uncertainty with noisy information. We provide closed-form solutions for the value of the investment policy and the optimal investment threshold. We show that when the information about the decision variable is noisy, the real option values...

In this paper we address the issue of quantifying the incentive to invest or disinvest from an equity investment to benefit from discrepancies between its real value and its market value. Such a situation arises in particular when a manager trades her company's own stock. Two existing models for...

Introduction to the Economics of Securitazation -- Overview of Securitization and Securitized Products -- Overview of Loan Portfolio Analysis -- Incentives and the Economics of Securitization -- Problems with Securitization -- Structuring Securitized Bonds -- The Economics of Securitization...