Table of contents
Pure vs speculative risk: False choice; sham marriage
Michael R. PowersThe purpose of this editorial is to study the relationship between the pure risks of insurance and the speculative risks of other financial markets in the context of financial…
Credit‐default swap rates and equity volatility: a nonlinear relationship
Fathi Abid, Nader NaifarThe aim of this paper is to study the impact of equity returns volatility of reference entities on credit‐default swap rates using a new dataset from the Japanese market.
Pricing credit risk through equity options calibration: Part 1 – theory
Marco Fabio DelzioTo propose a new methodology to infer the risk‐neutral default probability curve of a generic firm XYZ from equity options prices.
Pricing credit risk through equity options calibration: Part 2 – model implementation
Marco Fabio DelzioTo implement the model described in the companion paper, “Pricing credit risk through equity options calibration, part 1 – theory,” and show how to calculate the price of a set of…
When does cross‐border acquisition of insurance firms lead to value creation?
B. ElangoThe purpose of this paper is to focus on international acquisitions that took place in the insurance sector by US‐based firms in the years 1997‐2003 and their impact on…
Comparative statics and optimal portfolios
Jean Fernand NguemaFollowing Hadar and Seo, the paper aims to determine, in the case of a portfolio with three assets, the condition of preservation of comparative statics results under which a…
Option pricing for some stochastic volatility models
A. Thavaneswaran, J. Singh, S.S. AppadooTo study stochastic volatility in the pricing of options.
ISSN:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridMerged from:
Balance SheetEditor:
- Nawazish Mirza