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Abstract In reduced form default models, the instantaneous default intensity is the classical modelling object. Survival probabilities are then given by the Laplace transform of the cumulative hazard defined as the integrated intensity process. Instead, recent literature tends to specify the...
Abstract The article studies the valuation and optimal management of Time Charters with Purchase Options (T/C–POPs), which is a specific type of asset lease with embedded options that is common in shipping markets. T/C–POPs are economically significant and sometimes account for more than half of...
Abstract The author considers the dynamic trading strategies that minimize the expected cost of trading a large block of securities over a fixed finite number of periods. In this model, the market impact function that yields the execution prices for individual trades is endogeneously determined....
Abstract This work discusses the calibration of instantaneous Libor correlations in the Libor market model. We extend the existing calibration strategies by the incorporation of spread option implied correlation information. The correlation structure implied by constant maturity swap (CMS)...
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