The economic-political instability of a country, which is tied to its credit risk, often leads to
sharp depreciation and heightened volatility in its currency. This paper shows that not only the …

In this paper we present a simple and easy-to-use method for computing accurate estimates
(in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This …

This paper provides a method for pricing options in the constant elasticity of variance (CEV)
model environment using the Lie-algebraic technique when the model parameters are time-…

Significant deviations from covered interest parity were observed during the financial crisis
of 2007–2009. This paper finds that before the failure of Lehman Brothers market‐wide …

This study develops a stress-testing framework to assess liquidity risk of banks, where liquidity
and default risks can stem from the crystallisation of market risk arising from a prolonged …

The price disparity between the A- and H-share markets for dual-listed firms in China is one
of the most intriguing puzzles in the Mainland and Hong Kong financial markets. In this paper…

Time dependent barrier options have barrier periods covering a portion of option life. This
feature makes them hybrids of barrier options and ordinary European options. There are two …

The sovereign credit default swap (CDS) spreads and exchange rates of the developed
economies including the US, Japan, Switzerland and the eurozone with the first three countries' …

We derive the Bitcoin exchange rate dynamics by solving the exchange rate equation of the
standard flexible-price monetary model to investigate any characteristics of Bitcoin like a …

Based upon the Wei-Norman theorem, this paper presents a Lie-algebraic technique for the
pricing of financial derivatives with time-dependent parameters. By exploiting the dynamical …