The GARCH diffusion model has attracted a great deal of attention in recent years, as it is able to describe financial time series better, when comparing to many other models. This paper considers the problem of warrant pricing when the underlying asset follows the GARCH diffusion model. An...

We use the mean value and variation coefficient model to analyze the spatial-temporal feature of grain production in 31 provinces from the year 1980 to 2006. Time series of grain production is divided into 3 stages according to the average yield and the variation coefficient of grain production...

This paper presents a contingent claim model similar to the one described by Lee and Yu (2002) for pricing catastrophe risk bonds. First, we derive a bond pricing formula in a stochastic interest rates environment with the losses following a compound nonhomogeneous Poisson process. Furthermore,...