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Finite dimensional Markovian realizations for stochastic volatility forward rate models
Björk, Tomas (contributor); Landén, Camilla (contributor);  … - 2002 - [Elektronische Ressource], This version: May 6, 2002
the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward … volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent …
Persistent link: https://www.econbiz.de/10001664233
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Stock options as barrier contingent claims
Ericsson, Jan; Reneby, Joel - 1996
Persistent link: https://www.econbiz.de/10000953742
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A new approach to the derivation of asset price bounds
Rodríguez Longarela, Iñaki (contributor) - 2001 - [Elektronische Ressource], Rev. October 19, 2001
since a volatility constraint on the stochastic discount factor is a particular case of a restriction on this distance. We …
Persistent link: https://www.econbiz.de/10001600073
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Finite dimensional realizations of forward price term structure models
Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]
use the Lie algebra methodology of Björk et al. to investigate under what conditions on the volatility structure of the …
Persistent link: https://www.econbiz.de/10002450616
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Do forward markets enhance competition? : experimental evidence
Le Coq, Chloé (contributor); Orzen, Henrik (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2004
Hedging risks is an important rationale for the existence of forward markets. However, Allaz and Vila (1993) show that duopolists can also have a strategic motive to sell forward, irrespective of exogenous uncertainties. Moreover, in their model the possibility of forward trading increases...
Persistent link: https://www.econbiz.de/10001693096
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Discrete time hedging of OTC options in a GARCH environment : a simulation experiment
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000959376
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Credit risk in corporate securities and derivatives : valuation and optimal capital structure choice
Ericsson, Jan - 1997
Persistent link: https://www.econbiz.de/10000961237
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Monetary policy and bond option pricing in an analytical RBC model
Söderlind, Paul (contributor) - 2001 - [Elektronische Ressource], Rev. January 3, 2003
This paper analyzes how bond option prices are affected by different types of monetary policy. Analytical results from a general equilibrium model with sticky wages show that employment or output targeting typically give lower bond option prices than inflation targeting. -- inflation targeting ;...
Persistent link: https://www.econbiz.de/10001600072
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A note on the pricing of real estate index linked swaps
Björk, Tomas (contributor); Clapham, Eric (contributor) - 2002 - [Elektronische Ressource]
In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is...
Persistent link: https://www.econbiz.de/10001645586
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A framework for valuing corporate securities
Ericsson, Jan; Reneby, Joel - 1995
Persistent link: https://www.econbiz.de/10000928598