The financial systems in most developed countries today build up a large amount of model
risk on a daily basis. However, this is not particularly visible as the financial risk …

Edgeworth binomial trees were applied to price contingent claims when the underlying
return distribution is skewed and leptokurtic, but with the limitation of working only for a …

The shot-noise jump-diffusion (SNJD) model aims to reflect how economic variables
respond to the arrival of sudden information. This paper analyzes the SNJD model …

This article studies how sensitive real option valuations are to incorrect assumptions about
the stochastic process followed by the state variables. We design a valuation model which …

We study sovereign default risk as measured by credit default swap (CDS) spreads of
Eurozone member states between 2008 and 2016. Applying a structural credit risk model we …

The main purposes of this paper are two contributions:(1) it presents a new method, which is
the first passage time generalized for all passage times (PT method), in order to estimate the …

Este trabajo tiene por objeto el estudio de un caso real de inversión, que consiste en la
expansión de Endesa en Latinoamérica a través de su entrada en el capital de Enersis. El …

The breakthrough Black-Scholes (BS) model predicts a horizontal line when plotting the
implied volatility (IV) against the strike price. However, empirical studies uncovered that the …

Risk measurement is an important prerequisite in modern finance. This paper aims to
measure exchange rate risk of Chinese exchange market. We firstly examine the …

The analysis of jump detection using high frequency data has played its important role in
modern financial modeling recently. In this thesis, three different algorithms, ie the dynamic …