Arithmetic Asian options are difficult to price and hedge as they do not have closed-form
analytic solutions. The main theoretical reason for this difficulty is that the payoff depends on the …

The authors use risk-neutral option pricing theory to value the guaranteed minimum death
benefit (GMDB) in variable annuities (VAs) and some recently introduced mutual funds. A …

Rates of convergence for nearest neighbor estimation are established in a general framework
in terms of metric covering numbers of the underlying space. The first result is to find …

The no-arbitrage valuation of basket options is com-plicated by the fact that the sum of
lognormal random vari-ables is not lognormal. This problem is shared uith arithmetic Asian …

The financial economic No Arbitrage assumption implies that in a complete market the price
of any derivative security is the discounted value of its payoff function integrated against the …

Financial instruments whose payoffs are linked to exogenous events, such as the occurrence
of a natural catastrophe or an unusual weather pattern depend crucially on actuarial …

The widespread practice of dollar-cost averaging (DCA) amongst the investing public, has
puzzled most financial economists, ever since Constantinides [2] demonstrated the dynamic …

Let X/sub 1/, X/sub 2/,... be an arbitrary random process taking values in a totally bounded
subset of a separable metric space. Associated with X/sub i/ we observe Y/sub i/ drawn from …

Practitioners are well aware of the pernicious effect of the “sequence of investment returns”
on retirement income sustainability. Poor markets early in the withdrawal phase increase the “…

Numerous theoretical models suggest that inhibition difficulties—the inability to moderate
automatic responses—contribute to the onset and/or maintenance of internalizing symptoms. …