To cope with the negative oil futures price caused by the COVID–19 recession, global
commodity futures exchanges temporarily switched the option model from Black–Scholes to …

Mortgage-backed securities (MBS) are among the most complex of all financial instruments.
Analysis of MBS requires blending empirical analysis of borrower behavior with the …

We conduct an empirical analysis of the term structure in the volatility risk premium in the
fixed income market by constructing long-short combinations of two at-the-money straddles …

For option pricing models and heavy‐tailed distributions, this study proposes a continuous‐
time stochastic volatility model based on an arithmetic Brownian motion: a one‐parameter …

We introduce a simple approach to managing portfolio interest rate risk that is consistent and
performs well across different interest rate regimes, including when interest rates are low or …

We provide an accurate approximation method for inverting an option price to the implied
volatility under arithmetic Brownian motion, which is widely quoted in Fixed Income markets …

Life insurance products have profit sharing features in combination with guarantees. These
so-called embedded options are often dependent on or approximated by forward swap …

There has been substantial turmoil and change in the financial markets over the past few
years. We saw a housing bubble collapse trigger a subprime crisis that caused banks to fail …

This dissertation presents evidence of five studies showing that sovereign fixed income
markets are not always price efficient. The emerging local currency debt market has grown …

The authors formulate a risk-based swaption portfolio management framework for a profit-
and-loss (P&L) explanation. They analyze the implication of using the right volatility …