Biological, psychological and medical evidence widely suggests that the lunar phases may affect human behavior and mood. This suggestion motivates this study of the relationship between lunar phases and stock returns. Relevant papers indicate that lunar cycle effects do have an effect on stock...

This paper proposes an alternative Threshold-GARCH (TGARCH) option pricing model, which is a modification of the TGARCH model introduced by Härdle and Hafner (2000). Some moment properties of the proposed model are analytically proven. Parameter estimations are analyzed by the Bayesian approach...

This is a case study on the credit risk models, introduced by Cetin et al. (2004) and Guo et al. (2009). Empirical analyses are focused on the pricing of zero-coupon bonds issued by two US industrial companies, the Coca-Cola Company and PepsiCo Inc. Applying market observed information,...

This is a case study of the valuation of Chinatrust Real Estate Mortgage Backed Securities (RMBS). It constitutes of 17 mortgage loan groups, and four kinds of securities issued by the Deutsche Bank, Taipei Branch. In this paper, the pricing of the four issued securities is investigated,...

This paper presents both closed-form formulas and binomial tree algorithms to evaluate vulnerable derivatives. The payoff function extends mainly from the Klein (1996) and the Ammann (2001) credit risk frameworks. Three stochastic processes, the underlying stock price, the assets value of the...