We study a reaction–diffusion evolution equation perturbed by a space–time Lévy noise. The associated Kolmogorov operator is the sum of the infinitesimal generator of a C0-semigroup of strictly negative type acting on a Hilbert space and a nonlinear term which has at most polynomial growth,...

In this paper, we investigate empirically the effect of using higher moments in portfolio allocation when parametric and nonparametric models are used. The nonparametric model considered in this paper is the sample approach; the parametric model is constructed assuming multivariate variance...

<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...

AbstractThe following sections are included:The Covered Bond MarketIntroductionBasic featuresMarket evolutionPrimary marketSecondary marketCovered bonds in the sovereign debt crisisInflation-Linked BondsIntroductionThe developmentThe role of ILBsILBs and monetary policyPortfolio selection with...

AbstractThe following sections are included:IntroductionRecent EvolutionEuro-corporate Bond IndicesBond indices and default probabilitiesMoody–s 2011 Global Credit ReportGlossaryReferences

AbstractThe following sections are included:IntroductionThe Euro Sovereign Bond Market EvolutionCountry RiskBond Spread Dynamics Country-specific RiskFixed-income Markets and Financial Risk PremiaSovereign Risk and ECB PolicyGlossaryReferences

The formulation of dynamic stochastic programmes for financial applications generally requires the definition of a risk--reward objective function and a financial stochastic model to represent the uncertainty underlying the decision problem. The solution of the optimization problem and the...