Price reform is an important item in the reform of the Chinese economic system. The changes in the relations between interests brought about by the reform touch almost every corner of economic life. Therefore, we need to conduct a penetrating analysis of an entire series of problems involved in...

This study aims to provide an in-depth understanding of the BRICs’ ADR markets with respect to their linkages with the corresponding economic fundamentals. Specifically, the paper attempts to explore the (a) long run relationship and (b) short run lead-lag relationship between the ADR market...

RECENT ADVANCES IN FINANCIAL Proceedings of the 2008 Daiwa International Workshop on Financial Engineering CONTENTS Preface v Program ...

We consider a consistent pricing model of government bonds, interest-rate swaps and basis swaps in one currency within the no-arbitrage framework. To this end, we propose a three yield-curve model, one for discounting cash flows, one for calculating LIBOR deposit rates and one for calculating...

This paper proposes an efficient model for the term structure of interest rates when the interest rate takes very small values. We make the following choices: (i) we model the short-term interest rate, (ii) we assume that once the interest rate reaches zero, it stays there and we have to wait...

It is well known that the Wang transform [Wang, S.S., 2002. A universal framework for pricing financial and insurance risks. Astin Bull. 32, 213-234] for the pricing of financial and insurance risks is derived from Bühlmann's economic premium principle [Bühlmann, H., 1980. An economic premium...

We consider the valuation of simple and compound Ratchet equity-indexed annuities (EIAs) in the presence of stochastic interest rates. We assume that the equity index follows a geometric Brownian motion and the short rate follows the extended Vasicek model. Under a given forward measure, we...