There are several pricing and risk model applications where the assumption of a deterministic LIBOR-OIS basis can lead … the valuation of specific deals such as zero-coupon swaps, as well as credit valuation adjustments and gap risk in …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which …

The goal of this paper is to suggest a general approach for risk management by allowing jumps occurring in the … purpose, our choice is based on the local risk minimization used in Boyarchenko and Levendorski i (2000) and suggested by … short computation time. The same methodology is then extended to the computations of the standard risk measures, leading to …