This research shows that natural disasters may hurt energy consumption by using data on
123 countries over the period 1990–2015 and classifying them according to their economic …

This paper aims to propose referable asset allocation criteria for a defined-contribution (DC)
pension plan under stochastic interest rates and the minimum guarantee of inflation …

Certain of the provisions of the the Dodd-Frank Wall Street Reform and Consumer Protection
Act of 2010 will significantly affect the securitization industry. In general, the securitization …

n equity swap entails a sequence of exchanges of the return on a specified equity portfolio
against a payment computed in a different way on the same notional principal. Valuation …

This study derives an approximate pricing formula of floating range notes (FRNs) within the
multifactor LIBOR market model (LMM) framework. The LMM features the ease for calibration …

COVID-19 not only led to a significant loss of human lives but also brought indelible economic
loss. To transfer the natural disaster risk, a variety of financial instruments written on the …

This study extends the BGM (A. Brace, D. Gatarek, & M. Musiela, 1997) interest rate model (the
London Interbank Offered Rate [LIBOR] market model) by incorporating the stock price …

The standard assumption for an underlying asset's returns process is the lognormal diffusion.
This works quite well for individual assets. Portfolios and indexes present a problem, …

A generalized lognormal distribution is used to approximate the distribution of the difference
between two CMS rates. Pricing models for CMS spread options with nonzero strike rates …

To ensure the success of a pension plan under a self-contained defined contribution (DC)
retirement plan, the inclusion of foreign assets in a local pension portfolio could be beneficial …