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The valuation of corporate liabilities : theory and tests

Ericsson, Jan (contributor); Reneby, Joel (contributor) - 2001 - [Elektronische Ressource], First version: February 2001, Rev. January 7, 2003

We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an efficient maximum likelihood methodology. We evaluate the model's ability to predict yield spread levels and changes out-of-sample. Errors are smaller and distinctly less variable than...

Persistent link: https://www.econbiz.de/10001600071

On the use of numeraires in option pricing

Benninga, Simon (contributor); Björk, Tomas (contributor); … - 2001 - [Elektronische Ressource]

In this paper we discuss the significant computational simplification that occurs when option pricing is approached through the change of numeraire technique. The original impetus was a recently published paper (Hoang, Powell, Shi 1999) on endowment options; in the present paper we extend these...

Persistent link: https://www.econbiz.de/10001638113

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

A note on the pricing of real estate index linked swaps

Björk, Tomas (contributor); Clapham, Eric (contributor) - 2002 - [Elektronische Ressource]

correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of …

Persistent link: https://www.econbiz.de/10001645586

Is there evidence of pessimism and doubt in subjective distributions? : a comment on Abel

Giordani, Paolo (contributor); Söderkind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2003

Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the riskfree rate puzzle and the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are in fact...

Persistent link: https://www.econbiz.de/10001729353

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

Persistent link: https://www.econbiz.de/10000958083

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

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

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

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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