Search Results - subject:"Numéraire portfolio"

Less-expensive long-term annuities linked to mortality, cash and equity

Fergusson, Kevin; Platen, Eckhard - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 170-207

Persistent link: https://www.econbiz.de/10014306947

Arbitrage theory in a market of stochastic dimension

Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 847-895

Persistent link: https://www.econbiz.de/10014565276

Log-optimal and numéraire portfolios for market models stopped at a random time

Choulli, Tahir; Yansori, Sina - In: Finance and stochastics 26 (2022) 3, pp. 535-585

Persistent link: https://www.econbiz.de/10013440235

Arbitrage concepts under trading restrictions in discrete-time financial markets

Fontana, Claudio; Runggaldier, Wolfgang J. - In: Journal of mathematical economics 92 (2021), pp. 66-80

Persistent link: https://www.econbiz.de/10012654141

An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio

Igarashi, Toru - In: Asia-Pacific financial markets 26 (2019) 2, pp. 169-185

Persistent link: https://www.econbiz.de/10012308052

Stylised properties of the interest rate term structure under the benchmark approach

Fergusson, Kevin; Platen, Eckhard - 2014

Persistent link: https://www.econbiz.de/10011344800

Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach

Fergusson, Kevin; Platen, Eckhard - Finance Discipline Group, Business School - 2014

Market models which re ect stylised properties of the interest rate term structure are widely used for modelling and pricing interest rate derivatives. We consider a market model involving the short rate and a diversied global stock index. We illustrate the stylised properties of the interest...

Persistent link: https://www.econbiz.de/10011163382

Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees

Fergusson, Kevin; Platen, Eckhard - Finance Discipline Group, Business School - 2013

equity market comes into play. Instead of the savings account, the numeraire portfolio is employed as the fundamental unit of … value in the analysis. The numeraire portfolio is the strictly positive, tradable portfolio that when used as benchmark …

Persistent link: https://www.econbiz.de/10010754093

Modeling of Oil Prices

Du, Ke; Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2012

world stock index, which is a proxy of the numeraire portfolio, in the denomination of the oil price. Using a diversified … volatility of the numeraire portfolio denominated in crude oil, increases at major oil price upward moves. Furthermore, the log … properties lead to the proposed tractable diffusion model, which has the normalized numeraire portfolio and market activity as …

Persistent link: https://www.econbiz.de/10010754099

Local Risk-Minimization under the Benchmark Approach

Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - Finance Discipline Group, Business School - 2012

We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the proposed benchmarked local risk-minimization...

Persistent link: https://www.econbiz.de/10010617688