Description: In this paper we study the pricing of financial options and contingent claims. We show that two time-honored concepts in actuarial science - the Esscher transform and the adjustment coefficient - are efficient tools for pricing many options and derivative securities if the logarithms of the prices of the primitive securities are certain stochastic processes with stationary and independent increments. We also study the pricing of American options on two stocks without expiration date and with payoff functions which are homogeneous with respect to the two stock prices.

Description: In 1993, the Chicago Board of Trade introduced a futures contract on a financial index that reflects the insurance claims emerging from catastrophes in a portfolio of policies. This article presents a valuation formula for the contract, under the assumption that catastrophes emerge as a Poisson process over time and that the claims from each catastrophe emerge as a Compound Poisson process. The formula is developed by taking conditional expectations with respect to a history of information that includes knowledge about the time of the catastrophes.

Description: These are the abstract and reference of the paper 'Bounds on Multiple Contingent Claims'. Lo considered the problem on bounding a European option on a single asset. He obtained an upper bound on the payoff of the European call in terms of the mean and variance of the underlying asset. In this talk, we extend Lo's result to the multi-asset case. Unlike the one asset case, the correlations between the assets play an important role and have to be taken into consideration.

Description: This is the abstract of the paper 'Pricing of Credit Derivatives'. This talk will give an overview of current pricing techniques. We first show how to build a credit curve. A credit curve gives the instantaneous default probability of a party at any time in the future. It is as important to credit derivative pricing as the yield curve is to fixed income derivative pricing.