We propose a new model to price defaultable bonds which incorporates features of both structural and reduced-form models of credit risk. The main novelty of the model is that the default intensity is described by an additional stochastic differential equation coupled with the process of the...

A numerical method to price double-barrier options with moving barriers is proposed. Using the so-called Boundary Element Method, an integral representation of the double-barrier option price is derived in which two of the integrand functions are not given explicitly but must be obtained solving...

A numerical method to price options with moving barrier and time-dependent rebate is proposed. In particular, using the so-called Boundary Element Method, an integral representation of the barrier option price is derived in which one of the integrand function is not given explicitly but must be...

We investigate the performance of the Heston stochastic volatility model in describing the probability distribution of returns both in the case of single assets and in the case of asset portfolios. The R. parameters of the Heston model are estimated from observed market prices using a simple...

In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied . We propose a characterization of a particular class of coherent risk measures defined in [1]. The considered premium principles are obtained by expansion of TVar measures,...

We examine the market reaction to events related to the standard-setting process of International Financial Reporting Standard (IFRS) 9 for over 3,000 European firms that have adopted IFRS. We find that the market reaction to IFRS 9 is largely affected by firm-specific factors associated with...

A numerical approach for option pricing is proposed which is based on the use of the repeated Richarsdon extrapolation procedure along the price variable. Such a technique, which is applied in conjunction with the classical (centered) three-point finite difference scheme, is tested on two...