In the literature, microstructure effects have been documented as determinants of the
violations of the monotonicity property. In this article, we argue that in an order-driven marker …

Barrier caps, floors and swaptions are priced in a closed form via the time-changed
technique under the market models. The model parameters can be easily extracted from …

The LIBOR market model (LMM) has become the standard model for many kinds of interest
rate derivatives, such as cap contracts. It assumes that the distribution of the one-period …

This article derives the bivariate joint probability distribution functions of a geometric
Brownian motion and the extreme values of another geometric Brownian. Based on the …

W artykule opisano proces badania sposobów zarządzania ryzykiem z wykorzystaniem
instrumentów pochodnych. Wśród tych ostatnich najbardziej przydatne okazały się opcje …