We consider filtering problems that arise in Markovian factor models for the term structure of interest rates and for credit risk. Investors are supposed to have only incomplete information about the factors and so their current state has to be inferred/filtered from observable financial quantities. Our main goal is the pricing of derivative instruments in the interest rate and credit risk cont...

The prevalence of commercial activities whose profit and cost are correlated with weather risk makes weather derivatives valuable financial instruments that enable hedging of price or volumetric (quantity) risk in many industries. This paper proposes a multi-period equilibrium pricing model for weather derivative. In our stylized economy representative agents of weather-sensitive industries opt...

credit enhancements are methods that are used in structured finance for promoting the credit quality of financial instruments. one of the most important mechanisms for improving the credit quality is tranching financial instruments. this mechanism is mentioned as a structural and internal credit enhancement. tranching decreases financing costs and improves the quality of financial instruments. ...

This study aims to assess the impact of derivative instruments on accounting issues and financial reporting practices in banking institutions within context Handan, a city Hebei Province, China. Derivative instruments, such as forwards, futures, options, swaps, have become essential tools for risk management performance enhancement sector. However, their increasing complexity unique features po...