This paper deals with a variation of the Heston hybrid model with stochastic interest rate illustrated in Grzelak and Oosterlee 2011. This variation has the advantage of being analytically tractable while preserving the good features of the Heston hybrid model in in Grzelak and Oosterlee 2011....

Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing formula. It is well known from empirical studies that...

Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...

Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

We investigate the effects of return jumps on option bid-ask spreads measured in implied volatility. To explain bid-ask spread quoting behavior, we construct a general model with market makers trading in an incomplete market in which a Bernoulli-type jump could occur. Following a numerical...

Money is not everything in life but money is the most important need of everyone's life. This paper describes the value of money which changed over a period of time. It also explain the important factor i.e. interest, due to which the value of money changes. This paper also discussed the...

I model the impact of mitigation banking accompanied by Safe Harbor provisions on a land-owner's choices about supporting a population of an endangered species. The Safe Harbor provision is equivalent to a free call option on a population with market value, and mitigation banking can allow a...

We investigate three facets of cross-sectional variation in the risk of stock price crashes: actual crash incidence, and two predictors of that risk, accounting opacity and the option smirk curve. We show that all three of these variables are related. Option smirks and accounting opacity each...