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The Saving Finance Model (Tasarruf Finans)
The (Turkish) Savings Finance sector, which specializes in real estate/vehicle financing through the savings-based financing method, is an innovative...
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Cryptocurrency volatility markets
By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market’s expectation of future volatility. Our method...
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Gauss Versus Cauchy: A Comparative Study on Risk
In risk management, the probability distribution must adequately capture the risks that matter most, namely the outliers. I estimate the parameters...
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Options (II): Continuous-Time Models, Black–Scholes and Extensions
This chapter presents the continuous-time model of Black and Scholes and some of its extensions due to Merton, Black. The Black–Scholes model is...
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A general closed form option pricing formula
A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed form pricing formula for European...
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Accuracy of deep learning in calibrating HJM forward curves
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath–Jarrow–Morton...
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Implied liquidity risk premia in option markets
The theory of conic finance replaces the classical one-price model by a two-price model by determining bid and ask prices for future terminal cash...
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A Playbook for Banks
This chapter provides a playbook for how banks can position themselves to succeed in the evolving small business lending market. It uses the example...
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Options
Options can be generalized as contracts that can be bought at a given price, enabling one to buy or sell an asset or security at a possible future...
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Valuation Methods: The First Chicago Venture Method and the Use of Real Options
This chapter examines the First Chicago Venture Method and the Real Options Valuation (ROV) Method for valuations, providing hypothetical case...
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Macroeconomic uncertainty and earnings management: evidence from commodity firms
This study examines the relationship between macroeconomic uncertainty and earnings management, using quarterly data of US commodity firms from the...
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Exploiting context-dependent preferences to protect borrowers
Focusing bias is one of the key contributors to over-borrowing. It describes how people, when making choices, give disproportionate attention and...
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The H.C. Carey School of U.S. Currency Doctors: A “Subtle Principle” and Its Progeny
Henry C. Carey was leader of a school of post-Civil War U.S. currency doctors prescribing an “elastic currency,” expanding and contracting according...
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Can risk rating increase the ability of voluntary deductibles to reduce moral hazard?
Several regulated health insurance markets include the option for consumers to choose a voluntary deductible. An important motive for this option is...
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Analytical pricing formulae for vulnerable vanilla and barrier options
This paper proposes analytically vulnerable vanilla option pricing formulae that simultaneously consider the premature default, the correlation...
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Endowment asset allocations: insights and strategies
Using monthly data from 1997 to 2023, we construct mean-variance optimized portfolios of common university endowment asset classes, including...
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Uncertain strike lookback options pricing with floating interest rate
Considering the floating interest rate and the uncertainty of the strike price, we derive the pricing formulas of lookback options including lookback...
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Relative option liquidity and price efficiency
Options trading can stimulate price efficiency in underlying stock markets by providing a platform for informed trades, increasing the production of...
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Pricing options of security portfolio in cyclical economic environment
In this article, we present two option pricing models of optimal security portfolio in real-world measure. We capture the risk-adjusted prices with...
