Abstract Der Beitrag befasst sich mit einer neuen Klasse von Aktienankihen, die im Gegensatz zu anderen Produkten einen Schutz vor der Aktientilgung durch den Emittenten beinhalten. Es werden zwei geschützte" Aktienankihen durch Duplikation bewertet. Darauf aufbauend werden die Eigenschaften...

This note addresses the properties of mean-reverting stochastic processes of the Black-Karasinski type with additional stochastic jumps. For these processes, which are well suited for many financial applications such as the modelling of commodity prices and credit spreads, one would usually like...

This paper studies the valuation of multivariate equity options by determining the joint risk-neutral distribution of the underlying stock prices by means of copulas. In contrast to previous work which concentrates on two underlyings this study considers the general multivariate case. In...

This paper presents a semi-analytical approach for calculating the counterparty exposure of credit derivative contracts conditional on the default of the counterparty, based on a Merton-type asset return model. The approach provides an efficient algorithm for implementing large-scale exposure...