In this paper, we propose a general methodology to analyse model risk for discount bond options within a unified Heath, Jarrow, Morton (1992) framework. We illustrate its applicability by focusing on the hedging of discount bond options and options portfolios. We show how to decompose the...

The last decades have seen the development of a profusion of theoretical models of the term structure of interest rates. The aim of this survey is to provide a comprehensive review of these continuous time modeling techniques of the term structure applicable to value and hedge default-free bonds...

[eng] Insurance-Company Risk Connected with Life-Insurance Contracts . by Christophe Berthelot, Mireille Bossy and Nathalie Pistre . Life-insurance contracts in francs are in fact capitalisation contracts which provide a return with the dual advantage of offering a guaranteed rate and benefiting...

We consider the one-dimensional nonlinear P.D.E. in the weak sense: When the initial condition is a probability on R, the solution Ut is the distribution of the random variable Xt where (Xt) is a nonlinear stochastic process in the sense of McKean.

We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct...