Contingent Claim Pricing In A Dual Expected Utility Theory Framework

This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets. In this framework this dual price is obtained, for the rst time in the literature, without any comonotonicity hypothesis and for contingent claims written on n underlying assets following generic Itô processes. An application is also considered assuming geometric brownian motion for the underlying assets and the Wang transform as distortion function.Contingent Claims Pricing, Dual Utility Theory, Wang Transform.

A model for pricing real estate derivatives with stochastic interest rates

The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into account the real estate market sensitivity to the interest rate term structure in this paper is presented a two-factor model where the real estate asset value and the spot rate dynamics are jointly modeled. The pricing problem for both European and American options is then analyzed and since no closed-form solution can be found a bidimensional binomial lattice framework is adopted. The model proposed allows calibration to the interest rate and volatility term structures.

IAS 39 Hedge Accounting e Interest Rate Risk Management

The object of this paper is to investigate the role of interest rate risk measures set out in an immunization theory framework for the control of the hedge effectiveness test, as specified in IAS 39. In particular, the case of a cash flow hedge is analyzed and attention is drawn to how the use of interest rate risk management strategies based on the alignment of first order risk indexes does not guarantee the effectiveness of the prospective (ex-ante) and retrospective (ex-post) tests.IAS 39, hedge accounting, financial immunization, hedge effectiveness test, interest rate risk.

The causal analysis in the log-linear model

In this paper I try to provide a causal theory which can be applied to the log-linear models because they are devoid of complete methods to calculate the different effects. My causal theory uses odds ratios and Pearl's definitions (2001, 2009, 2012). I find that although I delete the log-linear parameter which regulates the interaction, there is still an interaction effect, which I call cell effect and which is due to the mere presence of two variables which affect a third. I then try to calculate this effect using Pearl's formulas for the direct, indirect and total effects and I find that a part of this effect is contained in Pearl's direct natural effect, this part is that related to the nonlinearity. To conclude I provide a test to see if this effect is equal to 0

Characterization of sulfur distribution in Ni-based superalloy and thermal barrier coatings after high temperature oxidation: a SIMS analysis

Sulfur segregation was characterized by secondary ion mass spectrometry (SIMS) in uncoated single-crystal Ni-based AM1 superalloys with various S contents and on NiPtAl, NiAl and NiPt bondcoats of complete TBC systems. In spite of technical difficulties associated with diffuse sputtered interfaces, an original sample preparation technique and a careful choice of analysis conditions enabled a chemical characterization of S distribution below metal/oxide interfaces. An initial heterogeneous distribution of S in as-received high S (3.2 ppmw) AM1 was measured. After oxidation, a S depletion profile formed, with a slope that depended on the initial bulk S content. GDMS measurements enabled a quantitative distribution of S in oxidized low S (0.14 ppmw) AM1 to be constructed and discussed in relation to equilibrium surface segregation of S on Ni. The quantity of S integrated in the thermally grown oxide (TGO) was estimated and found to be very similar to that measured from depletion found in the metal. Localized S enrichments in Pt-containing coatings are related to a possible beneficial trapping mechanism of Pt on the adherence of oxide scales

A new link function for the prediction of binary variables

If there are no heavy sanctions in place to prevent it, the problem of the cancellation of appointments can lead to huge economic losses and can have a significant impact on underutilized resources of healthcare facilities. A good model to predict the appointment cancellations could be an effective solution to this problem. Therefore, a new Bayesian method is proposed to estimate accurately the probability of the cancellation of visits to healthcare institutions based on specific factors such as age. This model uses the regression for binary variables, linking the explanatory variables to the probability of appearance at a previously made appointment with a new weighted function and estimating the parameters with the Bayesian method. The goodness of the new method is demonstrated by applying it to a real case and by comparing it to other methodologies. Therefore, the advantages of the proposed method are exposed and possible real-world applications are described

Corporate valuations and the merton model

In recent years both practitioners and academics have realised that traditional discounted cash flow models erroneously consider the option value embedded in firms. Hence equity and debt valuation methodologies based on option theory have recently become quite popular. Such methodologies take inspiration from the Merton (1974) model which was originally introduced to measure the impact of default risk on corporate bonds yields. Thirty years later the Merton model for its simplicity and rigour remains unrivalled and is the basis of some of the most sophisticated credit risk models. In this paper it will be shown how practitioners often improperly adapt the Merton model for aims beyond its original scope.Merton model, option pricing, default risk, corporate bond.

pricing and applications of digital installment options

For its theoretical interest and strong impact on financial markets, option valuation is considered one of the cornerstones of contemporary mathematical finance. This paper specifically studies the valuation of exotic options with digital payoff and flexible payment plan. By means of the Incomplete Fourier Transform, the pricing problem is solved in order to find integral representations of the upfront price for European call and put options. Several applications in the areas of corporate finance, insurance, and real options are discussed. Finally, a new type of digital derivative named supercash option is introduced and some payment schemes are also presented