In the last three decades increased attention has been paid to the valuation of the contingent claims whose value depend on underlying financial instruments, called securities. One of the most significant achievements in modern investment sciences is the Black-Scholes option pricing model. This...

In this article we discuss the fundamentals of pricing of the popular financial instruments. The basic point of our approach is to extend the present value benchmark concept. The present value valuation approach plays the similar role as The Newton Laws in the Classic Mechanics. Thus our primary...

The credit risk along with the credit derivatives is a modern area of the financial business. In recent years this field becomes the most successful innovation, which accumulates significant cash flows as well as the highest attention within financial community. In this notice we present some...

In this paper we present a critical viewpoint on interpretation of one of the most important innovation in the recent world economy. This is derivatives' market, the options segment in particular. The standard options such as plain vanilla, nonstandard exotics or hybrid options and more recent...

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 present effect of the liquidity on risky bonds pricing. The liquidity effect is represented by the adjustment to the single price format. We begin with bid-ask pricing format and it helps to observe effect of the liquidity on each step of pricing. In the first section, we...

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...