We generalize earlier results on barrier options for puts and calls and log-normal stock processes to general local volatility models and convex contracts. We show that Γ ≥ 0, that Δ has a unique sign and that the option price is increasing with the volatility for convex contracts in the...

We investigate risk associated with the violation of a constraint, which is desirable but hardly satisfiable in all possible states of nature. Copyright Springer 2004

The notion of transit function is introduced to present a unifying approach for results and ideas on intervals, convexities and betweenness in graphs and posets. Prime examples of such transit functions are the interval function I and the induced path function J of a connected graph. Another...

Averaging the reserve requirement is often considered an efficient way to reduce volatility at the very short end of the money market yield curve. The Bank of Finland began to apply an averaging provision at the beginning of October 1995. Notably, the volatility of the overnight rate of interest...