Mixed exponential distributions are frequently used in actuarial risk modeling. Distributions obtained through mixtures allow greater flexibility in the modeling of non-life insurance loss amounts . Several research works have studied mixed exponential distributions in univariate and...

In a recent study, we present a tree methodology to evaluate the expected generalized realized variance in a general stochastic volatility model. This provides an efficient way of calculating the fair value of the strike for variance swaps. In this article, we expand the methodology to price...

We study an expansion of the cumulative distribution function of the standard normal random variable that results in a family of closed form approximations that converge at 0. One member of the family that has only five explicit constants offers the absolute error of 5.79 10^{-6} across the...

This manuscript reviews standard classes of Libor Market models and discusses their numerical approximation machinery. It gives introduction to non-defaultable, defaultable models, Levy-forced models and affine Libor models

In commodity markets, a trader selling her inventory over a finite time horizon has access not only to the spot market but also to forward contracts. The trader has the choice to sell at the spot price, or to short a forward contract for later delivery, or a combination of both. While the...

This paper presents an overview of how agent-based computational economics (ACE) can contribute to the study of economic systems both at the macro and the micro level. It highlights the way these models can improve our understanding of social interactions and coordination mechanisms and bring...

In this paper, we provide an approximation formula for at the money forward options based on a Polya approximation of the cumulative density function of the standard normal distribution, and prove that the relative error of this approximation is uniformly bounded for options with arbitrarily...

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by augmenting it with jumps in the instantaneous variance process. In this framework, we consider options written on the realized variance, and we examine the impact of the distribution of...

Two criteria for choosing between capital investment projects are net present value (NPV) and internal rate of return (IRR). Sometimes they provide inconsistent rankings. This inconsistency sparked a debate about which criterion is better. The debate has lasted more than 100 years.This paper...