One of the most complex early-exercise decisions faced by traders in the financial derivatives markets is with T-Bond futures, due to the combination of mu...

The recent disappearance of a five-year-maturity gap from the set of Treasury bonds deliverable into the Chicago Board of Trade Treasury bond futures has res...

For a Neoclassical growth model, exponential discounting is observationally equivalent to quasi-hyperbolic discounting, if the instantaneous discount rate ...

Traditionally, claim counts and amounts are assumed to be independent in non-life insurance. This paper explores how this oft unwarranted assumption can be r...

In order to determine the risk capital for their aggregate portfolio, property and casualty insurance companies must fit a multivariate model to the loss tri...

In early 2001, the U.S. Department of the Treasury suspended the issuance of 30-year bonds, and then resumed issuing its long paper in early 2006. As a res...

The Great Recession has shaken the foundations of the financial industry and led to tighter solvency monitoring of both the banking and insurance industries....

Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to improve models for daily asset returns. This paper propose...

We introduce an efficient approach to evaluate counterparty risk and we compute the Credit Valuation Adjustement for derivatives having early exercise feat...

We propose a quasi-analytical approach for valuing American-style options under Gaussian and double exponential jumps à la Merton (1976) and Kou (2002). Our ...

Since the financial crisis of 2007-2009, there has been a renewed interest toward quantifying more appropriately the risks involved in financial positions. P...

Portfolio credit risk models are very often constructed with correlation matrices serving as proxies for interrelations in the creditworthiness of each compa...

Credit spreads and CDS premiums are investigated before, during and after the financial crisis with a flexible credit risk model. The latter is designed to c...

This paper provides an investigation into an anomaly called a short squeeze, in the CBOT T-Bonds Futures Market, for the period spanning January 1985 to Se...

Simulation-and-regression algorithms have become a standard tool for solving dynamic programs in many areas, in particular financial engineering and computat...

We introduce an efficient approach to evaluate counterparty risk and compute the Credit Value Adjustement for derivatives having early exercise features. The...

Commercial piracy and counterfeiting are widespread phenomena in different businesses, ranging from software and video games to luxury fashion products. Th...

A dynamic global hedging procedure making use of futures contracts is developed for a retailer of the electricity market facing price, load and basis risk. S...

Since its inception, stochastic Data Envelopment Analysis (DEA) has found many applications. The approach commonly taken in stochastic DEA is via chance cons...

In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the p...