German Bernhart

TL;DR: In this paper, the authors developed an approach that greatly simplifies the problem of pricing options on non-dividend-paying stocks by separating the future stream of dividends into two parts: those that occur in the immediate future and can be predicted out to some maximum forecasting horizon and the present value of all dividends to be received after that date.

TL;DR: In this paper, an integral representation for the density of distributions from the Bondesson class, a large subclass of positive, infinitely divisible distributions, is derived, which significantly enlarges the class of numerically tractable stochastic time transformations.

TL;DR: In this article, the dependence structure of the asset classes stocks, government bonds, and corporate bonds in different market environments and its implications on asset management are investigated, and the impact of these findings is examined in a portfolio optimization context.

TL;DR: In this article, the negative basis is defined as a liquidity spread that contributes as a net funding cost to the value of a transaction, which fits better into arbitrage pricing theory than existing approaches.