This paper develops a general valuation approach to price barrier options when the term structure of interest rates is stochastic. These products' barriers may be constant or stochastic, in particular we examine the case of discounted barriers (at the instantaneous interest rate). So, in...

The purpose of this article is to value participating life insurance contracts when the linked portfolio is modeled by a jump-diffusion. More precisely this process has a Brownian component and a compound Poisson one. The jump size is given by a double exponential distribution, so that jumps can...

This paper focuses on historical and risk-neutral default probabilities in a structural model, when the firm assets dynamics are modeled by a double exponential jump diffusion process. Relying on the Leland [1994a, 1994b] or Leland and Toft [1996] endogenous structural approaches, as formalized...

This article displays a study on the mutual insurance of bank deposits. A system where deposits are first insured by a consortium then by the Government is envisaged. We wish to compute the fair premia due to both the consortium and the Government. Various types of covenants aiming at making...

The aim of this paper is to value interest rate structured products in a simpler and more intuitive way than Turnbull(1995). Considering some assumptions with respect to the evolution of the term structure of interest rates, the price of a European interest rate digital call option is given....