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

to model a credit quality process as an Itˆo integral withrespect to a Brownian motion with a stochastic volatility …. Using a representation ofthe credit quality process as a time-changed Brownian motion, one can derive formulasfor …

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … report the 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 …

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 …

binding foreign ownership limits, we explore the relative pricing of restricted and unrestricted shares with a variety of …

This paper presents a comparison of alternative option pricing models based either on jump-diffusion nor stochastic … the net buying pressure characterizing option markets. …