This paper presents a new transform-based approach for path-independent lattice construction for pricing American options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct efficient path-independent lattices for virtually all...

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 Financial Services industry is at an innovations crossroads where Big Data, digital disruption and technology have splintered the dominant design of how products are delivered and how current processes and people function. Risks abound such as ‘What types of innovation will dominate',...

The issues regarding catastrophic losses is quite an important factor to consider in the course of insurance and the issuance of CAT bonds. This not withstanding the issue of cost of capital is quite undeniable should an assessment of this magnitude be done. Researchers have indicated that...

Mutual fund plays a crucial role in the Indian economy. Mutual funds are considered to be the vehicle for mobilization and channelization of savings from individual investors to towards the various capital market instruments. Evaluation of the performance of mutual funds particularly is of a...

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

Using a comprehensive survey, we show that investors with a larger capital allocation to private equity are more specialized − measured by the degree to which the investor focuses on private equity rather than other classes of investments − and have a wider scope of due diligence and...

Using a comprehensive survey, we show that investors with a larger capital allocation to private equity are more specialized − measured by the degree to which the investor focuses on private equity rather than other classes of investments − and have a wider scope of due diligence and...