Markets makers quote many option categories in terms of implicit volatility. In doing so, they can reactivate the Black and Scholes model which assumes that the volatility of an option underlying is constant while it is highly variable. First of all, this article, whose purpose is very...

This paper analyzes an explicit return smoothing mechanism which has recently been introduced as part of a new type of pension savings contract that has been offered by Danish life insurers. We establish the payoff function implied by the return smoothing mechanism and show that its...

Control variates are often used to reduce variability in Monte Carlo estimates and their effectiveness is traditionally measured by the so-called speed-up factor. The main objective of this paper is to demonstrate that a control variate can also be applied to reduce the bias stemming from the...

Both emerging and developed economies increasingly use fiscal rules. This paper analyzes the effects of two alternative fiscal rules on debt sustainability. The fixed surplus rule fixes the ratio of primary surplus to gross domestic product (GDP), and the variable surplus rule sets the primary...

The loss ratio (LR) for insurance companies is defined as the ratio of incurred claims and earned premiums for a specified class of insurance (CoI). The company may estimate then its capital requirement for that particular CoI by using Value at Risk (VaR) or conditional VaR (CVaR) of the loss...

Las implicaciones sobre la calidad del agua, medida ésta a través de los parámetros de carácter físico-químico empleados en la literatura específica, es uno de los principales problemas asociados a los trasvases de aguas superficiales. En este trabajo se realiza una valoración de la...