Similar Search Results

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 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

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

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

Long-term supply contracts and collusion in the electricity market

Le Coq, Chloé (contributor) - 2004 - [Elektronische Ressource], First draft: May 2003, This draft: February 2004

It has been argued that having a contract market before the spot market enhances competition (Allaz and Vila, 1993). Taking into account the repeated nature of electricity markets, we check the robustness of the argument that the access to contract markets reduces the market power of generators....

Persistent link: https://www.econbiz.de/10001923038

The market impact of short-sale constraints

Nilsson, Roland - 2005

Persistent link: https://www.econbiz.de/10002993690

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

Ericsson, Jan - 1997

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

Stock options as barrier contingent claims

Ericsson, Jan; Reneby, Joel - 1996

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