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The aim of this thesis is to analyze and renovate few main-stream models on inflation derivatives. In the first chapter of the thesis, concepts of financial instruments and fundamental terms are introduced, such as coupon bond,…

There are many studies on development of models for analyzing some derivatives such as credit default swaps .

Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account…

This paper begins with a brief history of nonlinear optics and how the bond model emerges as a need to obtain a better physical picture of nonlinearity. A description about the possible application of the bond model is presented afterward…

Productions functions map the inputs of a firm or a productive system onto its outputs. This article expounds generalizations of the production function that include state variables, organizational structures and increasing returns to…

Database normalization is the one of main principles for designing relational databases. The benefits of normalization can be observed through improving data quality and performance, among the other qualities. We explore a new context of…

The paper analyzes the mathematics of the relationship between the default risk and yield-to-maturity of a coupon bond. It is shown that the yield-to-maturity is driven not only by the default probability and recovery rate of the bond but…

The proposed framework introduces a novel multidimensional representation of money using tensor analysis, enabling a more granular examination of economic interactions and capital flow. By treating money as a multidimensional entity, this…

In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by…

Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from…

All formalisms have the ability to ensure that their models are internally consistent. Potential inconsistencies are generally highlighted by assertions called proof obligations, and the generation of these obligations is an important role…

In this paper we introduce a sublinear conditional expectation with respect to a family of possibly nondominated probability measures on a progressively enlarged filtration. In this way, we extend the classic reduced-form setting for credit…

Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…

We go into the need for, and the requirements on, a formal theory of budgets. We present a simple algebraic theory of rational budgets, i.e., budgets in which amounts of money are specified by functions on the rational numbers. This theory…

We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that…

Technical Debt is a term used to classify non-optimal solutions during software development. These solutions cause several maintenance problems and hence they should be avoided or at least documented. Although there are a considered number…

A stock loan is a contract whereby a stockholder uses shares as collateral to borrow money from a bank or financial institution. In Xia and Zhou (2007), this contract is modeled as a perpetual American option with a time varying strike and…

While the exact definition and implementation of accountability depend on the specific context, at its core accountability describes a mechanism that will make decisions transparent and often provides means to sanction "bad" decisions. As…

Governments across the globe are facing challenging times to generate more revenue because of the economic slowdown and to balance their budgets. There is a growing need to find new ways of revenue generation as spending cuts and austerity…

We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…