This is a preview. Log in through your library . Abstract This paper derives an analytic closed-form formula for the cumulative distribution function (cdf) of the ...

Arithmetic Asian options are difficult to price and hedge as they do not have closed-form analytic solutions. The main theoretical reason for this difficulty is that the payoff depends on the finite ...

With the current interest in copula methods, and fat-tailed or other non-normal distributions, it is appropriate to investigate technologies for managing marginal distributions of interest. We explore ...

This paper evaluates the inflation density forecasts published by the Swedish central bank, the Sveriges Riksbank. To do so, the paper first recovers the values of the parameters of Riksbank’s ...