applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is …'s consumption-based capital asset pricing model. American options call for special handling. After extending the basic modeling …, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities …

We explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by …