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In this paper we address the theoretical problem of evaluating the quality option embedded in interest rate futures contracts. We use the martingale properties of the prices of interest-rate contingent claims under different probability measures in order to derive solutions for the value of...
Neural networks are an established class of non-linear modelling technique. This paper offers an introduction and overview to neural nets with particular emphasis on financial applications. We present a brief history of the subject and provide details on two of the more popular models. In...
We propose a general framework to assess the value of the financial claims issued by the firm, European equity options and warrantsin terms of the stock price. In our framework, the firm's asset is assumed to follow a standard stationary lognormal process with constant volatility. However, it is...
An analytically tractable class of square-root interest-rate models is introduced. Algebraic expressions are found for the drift and volatility parameters of the short rate in terms of initial yield and volatility curves. Explicit formulae are derived for bond, Arrow-Debreu, and European and...
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