We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence structure of ...

This paper proposes new tests of randomness for innovations of a large class of time series models. These tests are based on functionals of empirical proces...

<p> We consider an infinite-horizon differential game played by two direct marketers. Each player controls the number of emails sent to potential customers...

We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS op...

The aim of this paper is to present efficient algorithms for the detection of multiple targets in noisy images of a finite region. The algorithms are based ...

While convergence properties of many sampling selection methods can be proven to hold in a context of approximation of Feynman-Kac solutions using sequentia...

We propose a simple modification of lattice schemes reducing the bias of lattice option prices with respect to continuous time and state option prices. The m...

In testing that a particular distribution <img src="/cgi-bin/mimetex.cgi?P"> belongs to a parameterized family <img src="/cgi-bin/mimetex.cgi?\cal{P}">, one ...

Installment options are a generalization of compound options, where the holder periodically decides whether to keep an option alive or not by paying the ins...

Estimation of the Pareto tail index from extreme order statistics is an important problem in many settings such as income distributions (for inequality meas...

This paper examines the plant location problem under the objective of maximizing return-on-investment. However, in place of the standard assumption that all...

The multivariate modelling of default risk is a crucial aspect of the pricing of credit derivative products referencing a portfolio of underlying assets, an...

This paper presents and assesses a procedure to estimate conventional parameters characterizing fluctuations at the business cycle frequency, when the econ...

Moody's KMV method is a popular commercial implementation of the structural credit risk model pioneered by Merton (1974). It is an algorithm for estimating...

In Duan, Gauthier and Simonato (1999), analytical formulas to approximate the price European options in the GARCH framework were developed. These formulas a...

One critical difficulty in implementing Merton’s (1974) credit risk model is that the underlying asset value cannot be directly observed. The model requires...

We develop a Markov chain pricing method capable of handling several state vari- ables. The Markov chain construction of Duan and Simonato (2000) is modifie...

We characterize in this paper the credibility of incentive equilibrium strategies for the class of linear-state differential games. We derive a general cond...

Two methods of analytical approximations for computing the value of a European option on the conditional variance in a GARCH setting are presented. The firs...

We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...