This study seeks to understand the understanding and attitude of Tunisian public accountants (TPA) of globalization through their social representations. Based on a sample of 214 Tunisian public accountants, we found that the TPA do not have common representations. For them, globalization is not...

The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed income applications. We investigate if the unscented Kalman filter should be used to capture nonlinearities, and compare the performance of the Kalman filter to that...

We present a general and flexible numerical procedure for pricing European interest-rate derivatives within multifactor affine term structure models by means of piecewise multilinear interpolations. Our procedure relies to the maximum extent on the true density of the state process and solves...

The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed income applications. We investigate if the unscented Kalman filter should be used to capture nonlinearities, and compare the performance of the Kalman filter to that...

Several papers have questioned the ability of multifactor affine models to extract interest rate volatility from the cross-section of yields. These studies find that model-implied conditional volatility is very poorly or even negatively correlated with model-free volatility. We study the ability...

Several papers have questioned the ability of multifactor affine models to extract interest rate volatility from the cross-section of bond prices. These studies find that the conditional volatility implied by these models is very poorly or even negatively correlated with model-free volatility....

Although the Basel Committee has identified recovery risk as an important source of risk in relation to default, the impact of recovery rates on defaultable securities is not yet well understood. This paper proposes a discrete-time reduced form approach for pricing defaultable securities that...