Similar Search Results

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

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

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 new non-linear GARCH model

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000958392

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina (contributor); … - 2005 - [Elektronische Ressource], Rev. October 2005

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

Persistent link: https://www.econbiz.de/10002570445

Stock options as barrier contingent claims

Ericsson, Jan; Reneby, Joel - 1996

Persistent link: https://www.econbiz.de/10000953742

Discrete time hedging of OTC options in a GARCH environment : a simulation experiment

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000959376

Credit risk in corporate securities and derivatives : valuation and optimal capital structure choice

Ericsson, Jan - 1997

Persistent link: https://www.econbiz.de/10000961237

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

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