We propose using the well-known conditional value at risk (CVaR) risk measure as a new methodology for incorporating robustness into portfolio optimization. Robustness in portfolio optimization can address the poor out-of-sample performance of the classical mean-variance optimization problems....

Most academic studies on interest rate dynamics and derivative pricing assume that interest rates move freely in an open market, while there has been relatively little attention paid to the situation where a nation's central bank has the power to intervene in the interest rate market. This paper...

The Basic Affine Jump Diffusion (BAJD) process is widely used in financial modeling. In this paper, we develop an exact analytical representation for its transition density in terms of a series expansion that is uniformly-absolutely convergent on compacts. Computationally, our formula...