3 papers
q-fin.PR2024
A Unifying Approach for the Pricing of Debt Securities
Marie-Claude Vachon, Anne Mackay
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/put…
q-fin.MF2023
On an Optimal Stopping Problem with a Discontinuous Reward
Anne Mackay, Marie-Claude Vachon
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract wi…
math.ST2020
A class of copulae associated with Brownian motion processes and their maxima
Michel Adès, Matthieu Dufour, Serge B. Provost +1
The main objective of this paper consists in creating a new class of copulae from various joint distributions occurring in connection with certain Brownian motion processes. We foc…