Symmetry results between call and put options have been widely studied in equity markets. We provide similar symmetry results between caps and floors in a Heath–Jarrow–Morton, a LIBOR and a forward price model, driven by time-inhomogeneous Lévy processes. On the way, we review the basic properties of these models.

In this article, we study the concept of maximum drawdown and its relevance to the prevention of portfolio losses. Maximum drawdown is defined as the largest market drop during a given time interval. We show that maximum drawdown can serve as an additional tool for portfolio managers on top of already existing contracts, such as put or lookback options.

In this paper an improved Cuckoo Search Algorithm is developed to allow for an efficient and robust calibration of the Heston option pricing model for American options. Calibration of stochastic volatility models like the Heston is significantly harder than classical option pricing models as more parameters have to be estimated. The difficult task of calibrating one of these models to American ...

e all like to embrace winning strategies for patient anagement in cardiovascular therapeutics. These strategies re important because we are so often besieged with a pectrum of treatment options, and both patients and their amilies, as well as referring physicians, implicitly put their rust in our specialized knowledge to make well-informed ecisions that impact favorably both symptomatic improve...

The Black–Scholes model is widely used to value options. An important advantage of the model is that European options can be valued analytically by the Black–Scholes formula (Merton 1992; Hull 1997). The situation is quite different, however, for American put options with optimal early exercise. While considerable progress has been made, no completely satisfactory analytic solution has been fou...

The paper further develops, both from the theoretical and numerical points of view the analytic valuation of the American options, initiated by Geske and Johnson (1984) for the American put with no dividend. We present and prove closed form formulas for the Bermudan put and call, with dividend, paid continuously at a constant rate, where a general number and not necessarily equal length interva...

In this paper we show how to relate European call and put options on multiple assets to certain convex bodies called lift zonoids. Based on this, geometric properties can be translated into economic statements and vice versa. For instance, the European call-put parity corresponds to the central symmetry property, while the concept of dual markets can be explained by reflection with respect to a...

Climate change and disasters are fast emerging as the most defining challenges of the 21st century as global risks with impacts far beyond just the environment and implications on national security and development. The paper examines the climate change-disaster-security nexus in context of India, the future projections of the IPCC and other regional assessments, along with the disaster profile ...

Personalized heart muscle cells made from stem cells in the laboratory could be used to check an individual's response to potential new drugs before clinical trials.