<i>Euro Bonds: Markets, Infrastructure and Trends</i> presents the most recent developments in the Euro bond market. It discusses the problems of the Euro countries, the proposed solutions advocated by European as well as international institutions and investors. Particular emphasis is given to...

In this paper, we focus on the calibration of affine stochastic mortality models using term assurance premiums. We view term assurance contracts as a "swap" in which policyholders exchange cash flows (premiums vs. benefits) with an insurer analogous to a generic interest rate swap or credit...

Assuming a non-satiable risk-averse investor, the standard approach to portfolio selection suggests discarding of all ineffi cient investment in terms of mean return and its standard deviation ratio within its fi rst step. However, in literature we can fi nd many alternative dispersion and risk...

The integration of quantitative asset allocation models and the judgment of portfolio managers and analysts (i.e. qualitative view) dates back to a series of papers by Black and Litterman in the early 1990s. In this paper we improve the classical Black-Litterman model by applying more realistic...

In this paper we develop a multi-factor model for the yields of corporate bonds. The model allows the analysis of factors which influence the changes in the term structure of corporate bonds. More than 98% of the variability in the corporate bond market is captured by the model, which is then...

With the decline in the mortality level of populations, national social security systems and insurance companies of most developed countries are reconsidering their mortality tables taking into account the longevity risk. The Lee and Carter model is the first discrete-time stochastic model to...

The ongoing EU sovereign debt crisis is causing great concern about the sustainability of national debt issued by the member states. In this paper, we propose a methodology to estimate the likelihood of the default of one or more countries in the Euro Area by extending the approach in Pianeti <italic>et...</italic>

This paper unifies the classical theory of stochastic dominance and investor preferences with the recent literature on risk measures applied to the choice problem faced by investors. First, we summarize the main stochastic dominance rules used in the finance literature. Then we discuss the...