The paper develops an efficient Monte Carlo method to price discretely monitored Parisian options based on a control variate approach. The paper also modifies the Parisian option design by assuming the option is exercised when the barrier condition is met rather than at maturity. We obtain...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>In this article, insurance claims are priced using an indifference pricing principle. We first revisit the traditional economic framework and then extend it to incorporate a financial (sub)market as a tool to invest and to (partially) hedge. In this context, we...</p>

Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an...

Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which income is received. Optimal payoffs have their lowest...

In standard portfolio theories such as Mean-Variance optimization, expected utility theory, rank dependent utility heory, Yaari's dual theory and cumulative prospect theory, the worst outcomes for optimal strategies occur when the market declines (e.g. during crises), which is at odds with the...

Our objectives are to identify the issues that researchers encounter when measuring internal migration in different countries and to propose key indicators that analysts can use to compare internal migration at the 'national' level. We establish the benefits to be gained by a rigorous approach...

The epidemiology of the recent rise in HIV cases in Britain highlights the need for more research among the heterosexual African migrant population. New research should not, however, only extend the limited number of studies that describe observable patterns in sexual health but should also seek...

A modified explicit finite difference approach to the pricing of barrier options is developed. To obtain accurate prices, the grid is constructed such that the barrier is located in a suitable position relative to horizontal layers of nodes on the grid. This means that the barrier passes through...

The Black-Derman-Toy (BDT) model is a popular one-factor interest rate model that is widely used by practitioners. One of its advantages is that the model can be calibrated to both the current market term structure of interest rate and the current term structure of volatilities. The input term...