This paper demonstrates the use of term-structure-related securities in the design of dynamic portfolio management strategies that hedge certain systematic jump risks in asset return. Option pricing formulas based on the absence of arbitrage opportunities in this context are also developed. the...

We derive alternative representations of the McKean equation for the value of the American put option. Our main result decomposes the value of an American put option into the corresponding European put price and the early exercise premium. We then represent the European put price in a new...

This paper uses an HJM model to price TIPS and related derivative securities. First, using the market prices of TIPS and ordinary U.S. Treasury securities, both the real and nominal zero-coupon bond price curves are obtained using standard coupon bond price stripping procedures. Next, a...

<keyword>put options</keyword>, <keyword>risk measures</keyword>, <keyword>insolvency</keyword>,<keyword>coherent risk measures</keyword>, <keyword>insurance risk measures</keyword></keywordgroup><footnotegroup><history>"Manuscript received March 2000; final revision received February 2001." Copyright 2002 Blackwell Publishing, Inc. 350 Main St., Malden, MA 02148, USA, and 108 Cowley Road,Oxford, OX4, 1JF, UK..

This paper presents a unifying theory for valuing contingent claims under a stochastic term structure of interest rates. The methodology, based on the equivalent martingale measure technique, takes as given an initial forward rate curve and a family of potential stochastic processes for its...