We study the pathwise uniqueness of solutions of one-dimensional stochastic differential equations involving local times, under the assumption that the diffusion coefficient satisfies the (LT) condition introduced by Barlow and Perkins (1984). We show that this condition is sufficient for the...

Properties of conditional expectations and metric projections for multivariate symmetric [alpha]-stable random variables with 1 < [alpha] < 2 are studied.

The note deals with the pricing of American options related to foreign market equities. the form of the early exercise premium representation of the American option's price in a stochastic interest rate economy is established. Subsequently, the American fixed exchange rate foreign equity option...

The optimal smoothed linear estimate in the Kalman-Bucy model is found by the direct minimization method.

The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices and so-called LIBOR rates, rather than on the instantaneous continuously compounded rates as in most traditional models. Forward and...

This paper presents a PDE approach in a Markovian setting to hedge defaultable derivatives. The arbitrage price and the hedging strategy for an attainable contingent claim are described in terms of solutions of a pair of coupled PDEs. For some standard examples of defaultable claims, we provide...

A new approach to modeling credit risk, to valuation of defaultable debt and to pricing of credit derivatives is developed. Our approach, based on the Heath, Jarrow, and Morton (1992) methodology, uses the available information about the credit spreads combined with the available information...

The time evolution of a sliding bond is studied in discrete&dash; and continuous&dash;time setups. By definition, a sliding bond represents the price process of a discount bond with a fixed time to maturity. Examples of measure&dash;valued trading strategies (introduced by Bj"ork et al. 1997a, 1997b) which are...

The problem of non-confluence and strong comparison of solutions of one-dimensional Itô stochastic differential equations is studied. Sufficient conditions which guarantee these properties in the case of non-degenerate diffusion coefficient are given. In the case of possibly degenerate...