Affine mortality models are well suited for theoretical and practical application in pricing and risk management of mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of mortality-linked claims. We model USA age-cohort mortality...

We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding expressions for call power options and constant...

In the present paper, we investigate the financial homogeneity of the euro area economies by contrasting eurozone countries' responses to monetary policy steps to the theoretical assumptions of the liquidity trap phenomenon. Our assumption is that the euro area economies are not completely...

Earlier studies in the literature of politically connected firms and the “revolving door” of government officials to the private sector focused mostly on politicians and high-ranked civil servants. In this paper I comprehensively survey the transition of all ranks of government officials...

In this article we illustrate how to price bonds and calculate the accrued interest, clean- and dirty price, from which we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical bond pricing formulae and show how to modify this...

We propose a highly optimized latent factor representation of the yield curve obtained by training a variational autoencoder (VAE) to curve data from multiple currencies. A curious byproduct of such training is a "world map of latent space" where neighbors have similar curve shapes, and distant...