This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
The authors consider the optimal strategy of research and development (R&D) expenditure adopted by a firm that engages in R&D to develop an innovative product to be launched in the market.
A number of countries are introducing faster settlement of retail payments due to increasing consumer demand.
We investigate whether overnight unsecured interbank loans and interest rates can be reliably inferred at the market and bank level from central banks’ interbank payments data.
The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility
The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.
This study examines the effect of retail payment innovations on the use of cash at the point of sale.
The author uses behavioral finance theory to create a measure that detects when stock markets become irrational.
In this paper, we analyze the use and impact of limits in TARGET2. Limits in the form of bilateral or multilateral debit limits are a liquidity management feature in TARGET2.