The recombining binomial tree approach, which has been initiated by Cox et al. (J Financ Econ 7: 229–263, <CitationRef CitationID="CR16">1979</CitationRef>) and extended to arbitrary diffusion models by Nelson and Ramaswamy (Rev Financ Stud 3(3): 393–430, <CitationRef CitationID="CR43">1990</CitationRef>) and Hull and White (J Financ Quant Anal 25: 87–100, <CitationRef CitationID="CR30">1990a</CitationRef>), is applied...</citationref></citationref></citationref>

This paper develops a new version of the Hull–White's model of interest rates, in which the volatility of the short term rate is driven by a Markov switching multifractal model. The interest rate dynamics is still mean reverting but the constant volatility of the Brownian motion is replaced by...

In this paper, we deal with no-arbitrage pricing problems of a chooser flexible cap written on an underlying LIBOR. The chooser flexible cap allows a right for a buyer to exercise a limited and pre-determined number of the interim period caplets in a multiple-period cap agreement. Assuming a...

Pandemic bonds can be used as an effective tool to mitigate the economic losses that governments face during pandemics and transfer them to the global capital market. Once considered as an "uninsurable" event, pandemic bonds caught the attention of the world with the issuance of pandemic bonds...

In this paper we study two models that generate sequences with LRC (long range correlation). For the IFT (inverse Fourier transform) model, our conclusion is the low frequency part leads to LRC, while the high frequency part tends to eliminate it. Therefore, a typical method to generate a...