Lending institutions’ reluctance to lend to MSMEs or to offer them competitive interest rates stems from the relatively costly information acquisition for small loans. The central idea is to bridge the information gap between the demand and the supply side by creating a credit analytics...

This thesis is a collection of three essays in empirical studies on derivatives. In the first chapter, I investigate whether credit default swap spreads are affected by how the total risk is decomposed into the systematic risk and the idiosyncratic risk for a given level of the total risk. The...

The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function...

Lending institutions' reluctance to lend to MSMEs or to offer them competitive interest rates stems from the relatively costly information acquisition for small loans. The central idea is to bridge the information gap between the demand and the supply side by creating a credit analytics sharing...

This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan’s GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in...

The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function...

This paper proposes a unified state-space formulation for parameter estimation of exponential-affine term structure models. This class of models, charaterized by Duffie and Kan (1993), contains models such as Vasicek (1977), Cox, Ingersoll and Ross (1985) and Chen and Scott (1992), among others....

This paper analyzes a large class of processes for the short-term interest rate that are derived in a discrete-time equilibrium framework. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the state variable. Under appropriate parameter...

We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and time-varying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework...

The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function...