This paper deals with the effects of concentration (single name and sectoral) and contagion risk on credit portfolios. Results are obtained for the value at risk of the portfolio loss distribution, in the analytical framework originally developed by Vasicek in 1991 [1]. VAR is expressed as a sum...

We introduce an extended LIBOR market model that is compatible with the current market practice of building different yield curves for different tenors and for discounting. The new paradigm is based on modeling the joint evolution of FRA rates and forward rates belonging to the discount curve....

This paper deals with the effects of concentration (single name and sectoral) and contagion risk on credit portfolios. Results are obtained for the Value at Risk (VaR) of the portfolio loss distribution, in the analytical framework originally developed by Vasicek in 1991. VaR is expressed as a...

We derive a computable approximation for the value of a European call option when prices satisfy a jump-diffusion model with the coefficients depending explicitly on time. This is achieved by approximating the original coefficients with functions that are piecewise constant in time. We give an...

We introduce a simple extension of a shifted geometric Brownian motion for modelling forward LIBOR rates under their canonical measures. The extension is based on a parameter uncertainty modelled through a random variable whose value is drawn at an in¯nitesimal time after zero. The shift in...

We develop an asymptotic expansion technique for pricing timer options under general stochastic volatility models around small volatility of variance. Closed-form approximation formulas have been obtained for the Heston model and the 3/2-model. The approximation has an easy-to-understand...

<section xml:id="fut21659-sec-0001"> We develop an approximation technique for pricing finite‐maturity timer options under Heston‐like stochastic volatility models. By approximating the distributions of the accumulated variance and the random variance budget exceeding time, we obtain analytic expressions for timer option...</section>

In the present paper we construct stock-price processes with the same marginal lognormal law as that of a geometric Brownian motion and also with the same transition density (and returns' distributions) between any two instants in a given discrete-time grid. <p>We then illustrate how option prices...</p>