In this paper, we introduce a new Fourier method for computing value-at-risk for a portfolio with derivatives and for return models with fat tails. The new method does not assume that the characteristic function for the return model is known explicitly. We define a class of admissible models for...

Diversity is a key issue in the provision of critical publicly provided goods such as clean drinking water and education. To develop institutions that address this issue, it is critical that we understand the mechanisms through which diversity and public goods are related. A simple model of...

Social capital appears to have significant consequences for economic development, yet we know little about how social capital develops or the role of government institutions in promoting or hindering that development. The two key approaches to social capital, as civic engagement or as...

A credit derivative is a financial instrument whose value depends on the credit risk of an underlying asset or assets. Credit risk is the possibility that the obligor fails to honor any payment obligation. This thesis proposes four new computational methods for the valuation of credit...

In this paper, we consider the following inverse problem for the first hitting time distribution: given a Wiener process with a random initial state, probability distribution, F(t), and a linear boundary, b(t)=[mu]t, find a distribution of the initial state such that the distribution of the...

A basket default swap (BDS) is a credit derivative with contingent payments that are triggered by a combination of default events of the reference entities. A forward-starting basket default swap (FBDS) is a BDS starting at a specified future time. Existing analytic or semi-analytic methods for...