In this paper we develop a statistical approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of historical data of the portfolio's assets. Our approach close...

In this short notice, we present structure of the perfect hedging. Closed form formulas clarify the fact that Black-Scholes (BS) portfolio which provides perfect hedge only at initial moment. Holding portfolio over a certain period implies additional cash flow, which could not be imbedded in BS...

In this paper we develop a model of corporate bonds pricing. We begin with default definition which is similar to one that is used in the standard reduced form of default model. The primary distinction between our model and reduced form of default model is interpretation of the date-t price of...

In this paper, we present somewhat alternative point of view on early exercised American options. The standard valuation of the American options the exercise moment is defined as one, which guarantees the maximum value of the option. We discuss the standard approach in the first two sections of...

This paper presents a fallacy of the Black and Scholes' (BS) option pricing concept. The BS pricing is still the unique theoretical way for pricing derivatives though quite a large number of expert have found a lot of remarks concerning its theoretical and practical failings. We should note that...

This project represents a basic design of a multilateral FX market that synthetically connected to the modern bilateral FX market. The essence of the multilateral FX market is an introduction of the single rates generating by the multilateral FX structures. These single rates are single currency...

In this short presentation we present another point of view on pricing derivatives. This point does present a direct alternative to the Black Scholes pricing concept. We do not make additional assumptions and we do not change existing axioms of the theory. We have developed a new interpretation...

In this paper we begin with details of the no arbitrage pricing scheme. It is common to call the pricing approach no arbitrage if it is impossible to receive a positive profit on a contract starting from zero investment at initiation date. We specify no arbitrage pricing by a) initiation and...