In some papers it have been remarked that derivation of the Black Scholes Equation (BSE) contains mathematical ambiguities. In particular there are two problems which can be raise by accepting Black Scholes (BS) pricing concept. One is technical derivation of the BSE and other the pricing...

Regulations of the market require disclosure of information about the nature and extent of risks arising from the trades of the market instruments. There are several significant drawbacks in fixed income pricing modeling. In this paper we interpret a corporate bond price as a random variable. In...

The document IFRS 7 requires disclosure of information about the nature and extent of risks arising from trading those instruments. There are several significant drawbacks in derivative price modeling which relate to global regulations of the derivatives market. Here we present a unified...

In some papers we remarked that derivation of the Black Scholes Equation (BSE) contains mathematical ambiguities. In particular, there are two problems which can be raised by accepting Black Scholes (BS) pricing concept. One is technical derivation of the BSE and the other the pricing definition...

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 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 paper we discuss some popular notions of the fixed income pricing. We pay attention to formal side of the use such notions as discount factor and mark-to-market valuation of the risk free cross currency swap

This paper focuses on the concept of a discount rate. In [1] one expressed some concerns regarding the popular models of the randomization of the discount rates. This paper proposes a new approach to construction of variable deterministic and stochastic interest rates. This approach is based on...