This paper reviews the LIBOR market model (LMM) and the LMM-SABR model. While a plethora of interest rate models, such as fundamental models, single-plus models, double-plus models, and triple plus models, can be used for valuation of plain vanilla derivatives, only a few models such as the LMM...

The Arab economy witnessed in the last three decades some developments as expressed by GDP per capita as well as by the human development index. However, such developments are not enough. It's varied, not comprehensive, and not as hoped. It's varied not only between individual states, but also...

The term structure of interest rates gives the relationship between the yield on an investment and the term to maturity of the investment. Since the term structure is typically measured using default-free, continuously-compounded, annualized zero-coupon yields, it is not directly observable from...

In a recent paper, NBZ [2010] present a multidimensional transform for generating path-independent trees for pricing American options under low dimensional stochastic volatility models. For this class of models, this approach has higher accuracy than the GARCH tree method of Ritchken and Trevor...

We examine the role of insurance companies as value investors in the corporate bond market. We show that during the COVID-19 liquidity crisis, insurers acted as “buyers of last resort” and increased their corporate bond positions, particularly in bonds facing fire sales by mutual funds....

This article addresses the issue concerning the application of Regulation (EU) 1286/2014 of the European Parliament and of the Council of 26 November 2014 “on key information documents for packaged retail and insurance based investment products (PRIIPs)” in relation to callable corporate...

Despite their incredible popularity and importance to modern capital markets, exchange traded funds (ETFs) are extremely difficult to compare side-by-side. Investors who successfully navigate the initial challenges of product choice overload, and opaque index construction methodology, soon...

This article argues that comparability in environmental, social, and governance (ESG) exchange traded funds (ETFs) is a much greater problem than greenwashing. Rising demand for sustainable investment products in recent years has been met with an explosion in ESG ETF varieties, and numerous...

The government support of financial firms through direct assistance and programs to improve market liquidity during the worldwide financial crisis of 2007-2008 is unprecedented since the Great Depression. Whether a given firm is ex-ante ‘Too Big To Fail' in the mind of government agents is not...