In this paper we identify conditions under which a true generator does or does not exist for an
empirically observed Markov transition matrix. We show how to search for valid generators …

This paper develops a multi-factor, Markov chain model for rating migrations and credit
spreads that is applicable to both sovereign and corporate debts. The model’s central feature is …

Wcathcr derivatives debuted iti the mid'9 () s when dereu; iila-of the etiergy and LttilicN'industries
started in the US Growing competition and uncertainty in demand prompted energ\'and …

The main objective of this paper is to propose an alternative valuation framework for pricing
foreign currency and cross-currency options, which is capable of accommodating existing …

In the last 15 years or so, tremendous efforts and progress have been made in valuing interest
rate sensitive derivative securities. Broadly speaking, two different approaches have been …

Existing research into Canadian options market efficiency is dated and focuses only on the
stock options market. Until now no study has investigated the efficiency of the Toronto 35 …

We study the efficacy of forbearance using a real options approach. Our model endogenizes
moral hazard embedded in credit risk undertaken by the bank. The bank's interest rate risk …

This article proposes an interpolation method to price barrier options when the barrier; either
constant or exponentially varying, is monitored discretely. Interpolation is feasible because …

Among construction industry participants, weather has been perceived to be one of the most
critical factors impacting project cash-flows. The overall impact of weather on the contractor’…

Nikkei put warrants are put options on the Nikkei 225 index which are traded in dollars and
subject to exchange rate risk. This paper develops close-form Black-Scholes type pricing …