applications to, e.g., multivariate option pricing with stochastic volatilities and correlations, fixed-income models with … pricing and dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generate variations of the …

pricing models, we have shown that financial economic problems can be solved using analytic methods. Analytic methods allow …'s (1999) asset pricing model with a $260^{th}$ order Taylor polynomial in less than ten seconds. In this case the error is … of allocation between stocks and bonds is mathematically more complex than the asset pricing problems, we have been able …

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …