In this paper, we consider the problem of finding optimal portfolios in cases when the underlying probability model is not perfectly known. For the sake of robustness, a maximin approach is applied which uses a 'confidence set' for the probability distribution. The approach shows the tradeoff...

National governments are key actors in managing the impacts of extreme weather events, yet many highly exposed developing countries -- faced with exhausted tax bases, high levels of indebtedness, and limited donor assistance -- have been unable to raise sufficient and timely capital to replace...

In this paper we study algorithms for pricing of interest rate instruments using recombining tree (scenario lattice) interest models. The price is defined as expected discounted cash flow. If the cash-flow generated by the instrument depends on the full or partial history of interest rates...

This report was commissioned by the Natural Disasters Network of the Regional Policy Dialogue. This report constitutes Phase 2 of this project. While the first phase of the study discusses the components of a national system, the second focuses on instruments for financing reconstruction after a...

This report was commissioned by the Natural Disasters Network of the Regional Policy Dialogue. This report constitutes Phase 2 of this project. While the first phase of the study discusses the components of a national system, the second focuses on instruments for financing reconstruction after a...