The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing

We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a three-state semi-Markov model, obtained through perturbation. We obtain a martingale, to which we can apply the optional sampling theorem and derive the double Laplace transform. This general result is applied to address problems in option pricing. We introduce a new option related to Parisian options, being triggered when the age of an excursion exceeds a certain time or/and a barrier is hit. We obtain an explicit expression for the Laplace transform of its fair price

Brownian excursions in mathematical finance

The Brownian excursion is defined as a standard Brownian motion conditioned on starting and ending at zero and staying positive in between. The first part of the thesis deals with functionals of the Brownian excursion, including first hitting time, last passage time, maximum and the time it is achieved. Our original contribution to knowledge is the derivation of the joint probability of the maximum and the time it is achieved. We include a financial application of our probabilistic results on Parisian default risk of zero-coupon bonds. In the second part of the thesis the Parisian, occupation and local time of a drifted Brownian motion is considered, using a two-state semi-Markov process. New versions of Parisian options are introduced based on the probabilistic results and explicit formulae for their prices are presented in form of Laplace transforms. The main focus in the last part of the thesis is on the joint probability of Parisian and hitting time of Brownian motion. The difficulty here lies in distinguishing between different scenarios of the sample path. Results are achieved by the use of infinitesimal generators on perturbed Brownian motion and applied to innovative equity exotics as generalizations of the Barrier and Parisian option with the advantage of being highly adaptable to investors’ beliefs in the market

U.S. GAAP financial statements: 67th annual survey 2013 edition

https://egrove.olemiss.edu/aicpa_att/1093/thumbnail.jp

U.S. GAAP Financial Statements Best Practices in Presentation and Disclosure, 72th edition, 2018; Accounting Trends & Techniques

https://egrove.olemiss.edu/aicpa_att/1101/thumbnail.jp

Prodotti per la gestione del rischio finanziario: i derivati finanziari strutturati

L’obiettivo della presente tesi è analizzare l’offerta ,da parte di alcuni istituti di credito italiani, di prodotti strutturati, cioè prodotti composti da una componente elementare (tipicamente un’obbligazione) e una derivata (una o più opzioni). Per prima cosa sono state descritte alcune tipologie di opzioni, plain vanilla o esotiche, che possono essere incorporate in questi prodotti, successivamente sono state presentate e descritte alcune tipologie base di questi prodotti indicandone un metodo di scomposizione per facilitare la determinazione del prezzo. Infine è confrontata l’offerta di prodotti strutturati, descrivendo il funzionamento di qualche prodotto reale

Illustrations of accounting policy disclosure : a survey of applications of APB opinion no. 22; Financial report survey, 36

https://egrove.olemiss.edu/aicpa_news/1196/thumbnail.jp

Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates

This dissertation analyzes Open-End Turbo Certificates (OETCs), a popular class of retail derivatives. OETCs can be exercised at any time at the investor’s discretion. In order to explain the existence of the certificates jump risk must be considered. We propose and implement an optimal stopping approach to price these securities, which further allows for determining optimal exercise thresholds. They result from the trade-off between benefits from downward jump protection and financing costs. We show that early exercise right has a significant impact on their values. In an empirical analysis pertaining to the years 2007 through 2009 it turns out that certificates which could be rationally held are very rare, although the degree by which the underlying exceeds the optimal exercise thresholds continually declines over the considered period. We suggest three lines of explanation: general market movement, jump risk perception by the market, and increased competition among issuers.Die vorliegende Dissertation behandelt Open-End Turbo Zertifikate (OETCs), eine populäre Klasse von Privatkundenderivaten, die jederzeit durch den Investor ausgeübt werden können. Um ihre Existenz rechtfertigen zu können, muss Sprungrisiko berücksichtigt werden. Zur Preisstellung des Produktes schlagen wir einen Optimal Stopping Ansatz vor und implementieren diesen. Dies erlaubt zudem die Berechnung optimaler Ausübungsschwellen, die aus dem Gegenspiel von Finanzierungskosten einerseits und Schutz gegen Abwärtssprünge andererseits entstehen. Wir zeigen, dass vorzeitige Ausübungsrechte in der Bewertung eine signifikante Rolle spielen. In einer empirischen Analyse für die Jahre 2007 bis 2009 zeigt sich schließlich, dass rationale Investoren nur sehr wenige OETCs halten sollten. Andererseits geht der Grad, um welchen das Underlying die optimale Ausübungsschwelle überschreitet, kontinuierlich zurück. Für diese Beobachtung lassen sich drei Begründungen anführen: allgemeine Marktbewegung, vom Markt wahrgenommenes Sprungrisiko und erhöhter Wettbewerb unter den Anbietern