We consider a structural model to design and evaluate the American call, conversion, and put options embedded in corporate bonds. We use dynamic programmin...

The estimation of the structural model poses a major challenge as its underlying asset (the firm's asset value) is not directly observable. We extend the m...

We use stochastic dynamic programming to design and solve an extended structural setting for which the illiquidity of the firm's assets under liquidation i...

We use NORTA (NORmal To Anything) to enhance normal credit-risk factor settings in modeling common risk factors and capturing contagion effects...

An exchangeable bond is a debt that is convertible into shares of a firm's equity other than the bond's issuer. We evaluate an exchangeable bond within a two...

Most structural models for valuing corporate securities assume a geometric-Brownian motion to describe the firm's assets value. However, this does not reflec...

We develop a general structural model for valuing risky corporate debts that takes into account both default and interest rate risk. We propose a two-dimensi...

Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...

We propose a dynamic program coupled with finite elements for valuing two-dimensional American-style options. To speed-up our procedure, we use parallel comp...

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 ...

We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a firm's assets, and computing the term structure o...

We propose a stochastic dynamic program for valuing options on stock-index futures. The model accounts for deterministic, seasonally varying dividends gene...

The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for Ame...

This paper presents a non--technical account of the developments in tree--based methods for the analysis of survival data with censoring. This review desc...

We explore the role of the discount on closed-end funds (CEFD) in asset pricing and weakly tests its validity as a proxy for sentiment in the Canadian stock ...

This paper provides a general procedure for pricing American- and European-style interest rate derivatives within multifactor affine term structure models....

The risk-adjusted selection and timing performance (alphas and gammas) of a comprehensive and survivorship-free sample of Canadian equity SRI funds after (be...

The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

Discrete-time survival data with time-varying covariates are often encountered in practice. One such example is bankruptcy studies where the status of each f...

The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...

Tree-based methods are frequently used in studies with censored survival time. Their structure and ease of interpretability make them useful to identify p...

In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

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

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...

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...

Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, L...

Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by ...

Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...

Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...

A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...