This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

The relationship between affine stochastic processes and bond pricing equations in
exponential term structure models has been well established. We connect this result to the …

Combining their corporate and academic experiences, Jamil Baz and George Chacko offer
financial analysts a complete, succinct account of the principles of financial derivatives …

Who gains all his ends did set the level too low. Although the history of trading on financial
markets started a long and possibly not exactly definable time ago, most financial analysts …

Motivated by risk management problems with barrier options, we propose a flexible
modification of the standard knock‐out and knock‐in provisions and introduce a family of …

In this thesis, we present interest rate models and a credit risk model, all driven by time-
inhomogeneous Lévy processes, ie stochastic processes whose increments are …

Turnbull (1995) as well as Navatte and Quittard‐Pinon (1999) derived explicit pricing
formulae for digital options and range notes in a one‐factor Gaussian Heath–Jarrow–Morton …

We study a generalization of the arc-sine law. In particular we provide new results about the
distribution of the time spent by a BM with drift inside a band, giving the Laplace transform of …

We provide analytic pricing formulas for Fixed and Floating Range Accrual Notes within the
multifactor Wishart affine framework which extends significantly the standard affine model …

In this paper we present a numerical method for the valuation of derivative securities which
have a payo dependent upon the amount of time during the life of the contract that some …