the present article examines the risk of selecting a financial asset. up to now, many criteria have been proposed to measure the risk. one of the most important criteria in this regard is beta criterion about which many studies have been conducted and consequently it has been criticized severely in this regard. one of the criticisms of capm model is the practical problems involved in estimating...

In this paper we provide the characterization of all finite-dimensional Heath–Jarrow–Morton models that admit arbitrary initial yield curves. It is well known that affine term structure models with time-dependent coefficients (such as the Hull–White extension of the Vasicek short rate model) perfectly fit any initial term structure. We find that such affine models are in fact the only finite-fa...

In this paper we propose an estimator of the entropy of a continuous random variable. The estimator is obtained by modifying the estimator proposed by Vasicek (1976). Consistency of estimator is proved, and comparisons are made with Vasicek’s estimator (1976), van Es’s estimator (1992), Ebrahimi et al.’s estimator (1994) and Correa’s estimator (1995). The results indicate that the proposed esti...

Usually non-maturity deposits form a considerable part of banks' assets and funding and thus hedging the interest rate risk of them is important. However, the available research addressing non-maturity deposit valuation is very limited. In this Thesis, we compare models for estimating the deposit rate and stock evolution and suggest suitable hedging possibilities for non-maturity deposits. Non-...

Longevity risk is a non-diversifiable risk and regarded as a pressing socio-economic challenge of the century. Its accurate assessment and quantification is therefore critical to enable pensionfund companies provide sustainable old-age security and maintain a resilient global insurance market. Fluctuations and a decreasing trend in mortality rates, which give rise to longevity risk, as well as ...

We study the Option pricing with linear investment strategy based on discrete time trading of underlying security, which unlike existing continuous models provides a feasible real market implementation. Closed form formulas for Call and Put price are established fixed interest rates their extensions to stochastic Vasicek Hull-White rates.

We describe a full maximum-likelihood fitting method of the popular single-factor Vasicek and Cox–Ingersoll–Ross models and carry this out for term-structure data from the UK and US. This method contrasts with the usual practice of performing a day-by-day fit. We also compare the results with some more crude econometric analyses on the same data sets. © 2000 Elsevier Science B.V. All rights res...