01About This Special Issue
Valuation of Derivative Securities and Credit Risks aims at presenting the latest developments and options pricing in pure and applied computational finance. It considers important theoretical, empirical and review papers. This special is driven by the computational revolution and emphasizing innovative applied mathematics having potential for applicability and practicality. It also improves the dissemination of advanced research in the area of valuation of derivative securities and credit risk.Original research papers are solicited in any aspect of applied and pure computational finance.
The topics include (but are not limited to):
Financial engineering
Financial statistics
Pricing theory of securities and portfolio
Quantitative economics
Solutions to PDEs
Stochastic optimization and control
Stochastic processes
Credit Risks
Risk Management
Option Pricing
Numerical Methods in Finance
02Meet the Guest Editors
Our distinguished editors bring deep subject-matter expertise to curate high-quality research and ensure a rigorous peer-review process.
Lead Guest Editor
Sunday Fadugba
Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria
Guest Editor
Ramon Gutiérrez-Sánchez
Department of Statistic and Operational Reseach. University of Granada., Granada, Spain
Guest Editor
Joseph Okunlola
Department of Mathematical and Physical Sciences, Afe Babalola University, Ado Ekiti, Nigeria
Guest Editor
Helen Edogbanya
Department of Mathematics, Federal University Lokoja, Nigeria
03Published Articles
The following articles have been published in this special issue.
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Performance Measure of Binomial Model for Pricing American and European Options
Issue: Volume 3, Issue 6-1, December 2014Pages: 18-30Received: 28 September 2014Accepted: 6 October 2014Published: 20 October 2014DOI: 10.11648/j.acm.s.2014030601.14Downloads:Views:Abstract: Binomial model is a powerful technique that can be used to solve many complex option-pricing problems. In contrast to the Black-Scholes model and other option pricing models that require solutions to stochastic differential equations, the binomial option pricing model is mathematically simple. It is based on the assumption of no arbitrage. The assu... Show More -
Issue: Volume 3, Issue 6-1, December 2014Pages: 12-17Received: 1 August 2014Accepted: 6 August 2014Published: 5 September 2014DOI: 10.11648/j.acm.s.2014030601.13Downloads:Views:Abstract: This paper examines the roles martingale property played in the use of optional stopping theorem (OST). It also examines the implication of this property in the use of optional stopping theorem for the determination of mean and variance of a stopping time. A simple example relating to betting system of a gambler with limited amount of money has bee... Show More
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On Hybrid Model for the Valuation of Credit Risk
Issue: Volume 3, Issue 6-1, December 2014Pages: 8-11Received: 1 August 2014Accepted: 6 August 2014Published: 13 August 2014DOI: 10.11648/j.acm.s.2014030601.12Downloads:Views:Abstract: This paper presents hybrid model for the valuation of credit risk. Credit risk arises whenever a borrower is expecting to use future cash flows to pay a current debt. It is closely tied to the potential return of investment, the most notable being that the yields on bonds correlate strongly to their perceived credit risk. Hybrid model combines the ... Show More -
Issue: Volume 3, Issue 6-1, December 2014Pages: 1-7Received: 19 July 2014Accepted: 5 August 2014Published: 5 August 2014DOI: 10.11648/j.acm.s.2014030601.11Downloads:Views:Abstract: This paper presents the Mellin transform method as an alternative analytic solution for the valuation of geometric Asian option. Asian options are options in which the variable is the average price over a period of time. The analytical solution of the Black-Scholes partial differential equation for Asian option is known as an explicit formula, this... Show More
