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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

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

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

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

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

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

A framework for valuing corporate securities

Ericsson, Jan; Reneby, Joel - 1995

Persistent link: https://www.econbiz.de/10000928598