We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. Our first finding is the proof of a conjecture of Li and Ng (cf. [LN00]), Leippold, Trojani and Vanini (cf. [LTV04], [LTV03]) about the equivalence of the...

We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. Our first finding is the proof of a conjecture of Li and Ng (2000), Leippold, Trojani and Vanini (2004, 2003) about the equivalence of the original...

In this work, we identify the most general measure of arbitrage for any market model governed by Ito processes. We show that our arbitrage measure is invariant under changes of numeraire and equivalent probability. Moreover, such measure has a geometrical interpretation as a gauge connection....

We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a structural model of default events accounting for correlations between the default events and...

A framework which consistently and fully integrates market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup is developed. An appropriate definition of exposure, loss-given-defaults and loss-given-transfer-events provides a unified treatment of...