Since the 2007 financial crisis, many central banks adopted policies to lower their interest rates, whose dynamics can not be captured using classical models. Recently, Meucci and Loregian (2016) proposed an approach to estimate nonnegative interest rates using the inverse-call transformation....

Negative interest rates are present in various marketplaces since mid-2014, following the negative interest rate policy (NIRP) adopted by the European Central Bank in order to lift the economic growth (and, therefore, the inflation). However, this policy involves difficulties for market...

An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to...

Usually people make use of sensitivities in order to hedge a portfolio sensitive to interest rates risks. Actually the bond relative price change is approximated by the opposite of its duration times the interest rate change added by the convexity times the square of this interest rate change....

The survival probability curve associated with a given underlying reference entity is a central quantity to price credit risk. In the current credit market, Credit Defaults Swaps(CDSs) are liquidly traded for a large range of obligors and maturities, such that the implied survival probabilities...