The multivariate modelling of default risk is a crucial aspect of the pricing of credit derivative products referencing a portfolio of underlying assets, an...

This paper presents and assesses a procedure to estimate conventional parameters characterizing fluctuations at the business cycle frequency, when the econ...

Moody's KMV method is a popular commercial implementation of the structural credit risk model pioneered by Merton (1974). It is an algorithm for estimating...

In Duan, Gauthier and Simonato (1999), analytical formulas to approximate the price European options in the GARCH framework were developed. These formulas a...

One critical difficulty in implementing Merton’s (1974) credit risk model is that the underlying asset value cannot be directly observed. The model requires...

We develop a Markov chain pricing method capable of handling several state vari- ables. The Markov chain construction of Duan and Simonato (2000) is modifie...

We characterize in this paper the credibility of incentive equilibrium strategies for the class of linear-state differential games. We derive a general cond...

Two methods of analytical approximations for computing the value of a European option on the conditional variance in a GARCH setting are presented. The firs...

We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...

This paper deals with time-consistency and agreeability, two dynamic individual rationality concepts, in special linear-quadratic differential games. Condi...

Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, L...

Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by ...

The paper identifies conditions under which time-consistency and agreeability, two intertemporal individual rationality concepts, can be verified in linear-s...

The purpose of this article is to describe several applications of the Clustered Traveling Salesman Problem arising in areas as diverse as vehicle routing, ...

Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...

The standard way to solve the static economic dispatch problem with transmission losses is the penalty factor method. The problem is solved iteratively by a...

The paper identifies the strategic effects of learning-by-doing in presence of unintended spillovers of production experience. In a two-stage game an incum...

Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...

A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...

A review is made of models and algorithms for probabilistic satisfiability and its extensions. The basic probabilistic satisfiability problem, in decision f...