to achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. in this study we consider fama and french three-factor model augmented by the pastor and stambaugh (2003) liquidity risk factor. unlike most previous studies in this model, stock level beta is allowed to vary with firm-level size and book-to-market value. to verify the above...

In this paper we consider modeling of credit risk within the Libor market models. We extend the classical definition of the defaultfree forward Libor rate to defaultable bonds with credit ratings and develop the rating based Libor market model. As driving processes for the dynamics of the default-free and the pre-default term structure of Libor rates time-inhomogeneous Lévy processes are used. ...

This paper takes a contingent claim approach to the market valuation of equity and liabilities in life insurance companies. A model is presented which explicitly takes into account the facts that the holders of life insurance contracts (LICs) have the first claim on the company’s assets whereas equityholders have limited liability, that interest rate guarantees are common elements of LICs, and ...