This paper studies the cost structure and pricing efficiency of principal protected notes (PPNs) from the Danish retail market. Our data set consists of detailed information on almost 400 Danish issues of PPNs during the period from 1998 to 2009. Comparing actual offer prices with theoretical...

A new type of structured bond has recently been introduced with enormous success - primarily among private investors - in many countries in Europe. The bonds are medium term and with fixed and very high initial coupons. The remaining coupons are determined as a constant multiplier times the...

The paper analyzes one of the most common life insurance products --the so-called participating (or 'with profits') policy. This type of contract stands in contrast to Unit-Linked (UL) products in that interest is credited to the policy periodically according to some mechanism which smoothes...

Over the last decade the Danish corporate environment has experienced a significant increase in the use of option-based compensation (OBC). This and many other facts are documented in the present paper which provides the first insights into the characteristics of the option and warrant contracts...

In recent years, investors have shown significant interest in responsible investment products, including sustainable and ESG screened index funds. A natural concern for prospective investors in such funds is that a sustainable fund might underperform its classical unscreened counterpart. This...

Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued by the end of 2021 and superseded by what ISDA calls an adjusted risk-free rate (RFR). ISDA has recently announced that the LIBOR replacement will most likely be constructed...

We introduce a multiple curve LIBOR framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. The dynamics of OIS and LIBOR rates are specified following the methodology of the affine LIBOR models and are driven by the wide and...

We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient to match market data with accuracy. We...