We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …

The present article brings to the fore the issue of the fair pricing of hedging against climatic risks in Bulgaria by …

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is …

terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

adequacy of actuarial and financial approaches for pricing ILWs, as well as the aspects of basis risk. Finally, drivers of … demand and associated models frameworks from the purchaser's viewpoint are studied. Findings – Financial pricing approaches …

benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims. …

pricing of the option. Various hedging parameters are also computed. …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …