In this paper we consider various computational methods for pricing American style derivatives. We do so under both jump diffusion and stochastic volatility processes. We consider integral transform methods, the method of lines, operator-splitting, and the Crank-Nicolson scheme, the latter being...

People often experience tension over certain choices (e.g., they should reduce their gas consumption or increase their savings, but they do not want to). Some posit that this tension arises from the competing interests of a deliberative should self and an affective want self. We show that people...

This paper examines derivatives use of foreign exchange, interest rate and commodities risk by non-financial firms across multiple industries, using data from 1995 to 2001. This paper considers the interaction of a firm's risk exposures, derivatives use, and real operations simultaneously, and...

The Household, Income and Labour Dynamics in Australia (HILDA) survey includes twelve items that assess different psychosocial characteristics of work. However, these items are not drawn from an established scale and, therefore, we do not know the best way to combine the items, or indeed the...

This paper is devoted to the pricing of variance and volatility swaps in energy market. We found explicit variance swap formula and closed form volatility swap formula (using Brockhaus-Long approximation) for energy asset with stochastic volatility that follows continuous-time GARCH (1,1) model...

This article examines an array of new tax questions that have arisen, or are about to arise, as a result of changes in market practice and the legal rules governing over-the-counter derivative financial instruments (“swaps”). The changes to the regulatory laws governing swaps are still a...

This paper presents a semi-analytical approach for calculating the counterparty exposure of credit derivative contracts conditional on the default of the counterparty, based on a Merton-type asset return model. The approach provides an efficient algorithm for implementing large-scale exposure...

Both the U.S. House of Representatives and the U.S. Senate have drafted financial reform legislation prompted by the financial market failings the country experienced in 2008. Both versions provide for comprehensive regulation of the OTC derivatives products, which were used extensively by those...

This book has examined the English law governing participation in crimes and has built a case for abolishing derivative complicity liability. It has been argued that participation (assistance or encouragement) is less harmful and less dangerous than perpetration because it is contingent on the...

Determining the movement of the crude palm oil prices (CPO) is a crucial issue, whereby it always associated with the decisionmaking by businessman, investors, speculators and policymaker. Besides the CPO prices indicate that it is fluctuating all over a time and need to be forecast as to make...