The severity and occurrence of rare events in financial markets has had a fundamental impact on the pricing and risk management of financial derivatives, such as volatility smile curves. However rare event modelling poses a problem in efficient and accurate simulation due to fundamental issues...

The inefficient pricing of the CDS (credit default swap) market has been considered as one of the main causes of the Global Financial Crisis. As price discovery is theoretically related to liquidity, this has been considered a source of mispricing in this over-the-counter market. However the CDS...

This paper uses standard methods in stochastic calculus to measure the cost of the agency conflict that pits elected officials of French municipalities against the communities they represent in the management of the water supply. Under the French legal code, the municipalities are responsible...

In this paper we use the structural credit risk methodology of Merton (1974) to estimate country default risk as the country financial risk premium for eight of the largest Latin American economies - Argentina, Bolivia, Brazil, Chile, Colombia, Mexico, Peru and Venezuela - from 1986 to 2000. We...

Purpose – Seeks to analyze the role of population and wealth in determining capital movements between countries. Design/methodology/approach – By applying the Clark-Jokung 50 percent portfolio theorem, considers the specific case of a two country world where the cumulative conditional...

The problem that we address in this paper stems from the trend to delegation in the water management field. It refers to the municipality’s negotiating disadvantage in the face of cartelized water management firms that makes delegation, once undertaken, virtually irreversible. We show why the...

This paper uses standard methods in stochastic calculus tomeasure the cost of the agency conflict that pits electedofficials of French municipalities against the communities theyrepresent in the management of the water supply. Under the Frenchlegal code, the municipalities are responsible for...