We suggest an arbitrage free interpolation method for pricing zero-coupon bonds of arbitrary maturities from a model of the market data that typically underlies the swap curve; that is short term, future and swap rates. This is done first within the context of the Libor or the swap market model....

An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the...

Purpose: The purpose of this study is to examine the facilitating and inhibiting influence of team-level negative affectivity and conscientiousness on a dyad of emergent states, adopting and comparing both the composition and compilation perspectives. Design/methodology/approach: Data were...

Purpose – As supply chain management has become more strategic (rather than transactional) in nature the need for a more integrated perspective of how products, and processes should be aligned with strategic decisions to enhance competitive advantage has been amplified. The purpose of this...

This paper extends the risk-sensitive asset management theory developed by Bielecki and Pliska and by Kuroda and Nagai to the case where the investor's objective is to outperform an investment benchmark. The main result is a mutual fund theorem. Every investor following the same benchmark will...

In several countries a major factor contributing to the current economic crisis was massive borrowing to fund investment projects on the basis of, in retrospect, grossly optimistic valuations. The purpose of this paper is to initiate an approach to project valuation and risk management in which...

South Africa’s Reconstruction and Development Programme set ambitious goals for providing basic services to all, including housing and electrification. More efficient use of energy has the potential to socially and politically support these goals, particularly when it is targeted at low-income...