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Default swaps and hedging credit baskets

Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2007

We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS … pure jump filtration, we present an extremely efficient approach to pricing and study explicit hedging strategies. …

Persistent link: https://www.econbiz.de/10009642579

Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen

Becker, Christoph; Wystup, Uwe - Frankfurt School of Finance and Management - 2008

Bei der Altersvorsorge von Privatanlegern ergibt sich in der derzeitigen Marktsituation die Frage nach der Einführung von Anlageprodukten mit Garantien. Garantien können sich auf das Kapital oder auf eine Mindestrendite beziehen. Produktvarianten können Fonds oder Zertifikate sein. Aus Furcht...

Persistent link: https://www.econbiz.de/10009642573

Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Persistent link: https://www.econbiz.de/10009642577

Interest rate convexity and the volatility smile

Boenkost, Wolfram; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2006

often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the … problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different strikes …

Persistent link: https://www.econbiz.de/10009642580

On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model

Griebsch, Susanne; Wystup, Uwe - Frankfurt School of Finance and Management - 2008

options with payoffs depending on finitely many spot values such as fader options and discretely monitored barrier options. We …

Persistent link: https://www.econbiz.de/10009642583

Cross currency swap valuation

Boenkost, Wolfram; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2004

Cross currency swaps are powerful instruments to transfer assets or liabilities from one currency into another. The market charges for this a liquidity premium, the cross currency basis spread, which should be taken into account by the valuation methodology. We describe and compare two valuation...

Persistent link: https://www.econbiz.de/10009642585

Credit gap risk in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models,...

Persistent link: https://www.econbiz.de/10009642587

Notes on convexity and quanto adjustments for interest rates and related options

Boenkost, Wolfram; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2003

approximative approach available in the popular literature. For options on Libor-in-arrears or CMS rates like caps or binaries we … valuation formula. Further we investigate options to exchange interest rates which are possibly set at different dates or admit … derive valuation formulae for standard options on interest rates paid in foreign currency. …

Persistent link: https://www.econbiz.de/10005026990

Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?

Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2012

Das Geschäft mit Derivaten und strukturierten Finanzprodukten ist verstärkter Kritik ausgesetzt. Ziel des Aufsatzes ist die kritische Auseinandersetzung mit den Thesen der Kritiker und der Rolle der Bank bei den genannten Geschäften.

Persistent link: https://www.econbiz.de/10010982089

Closed formula for options with discrete dividends and its derivatives

Veiga, Carlos; Wystup, Uwe - Frankfurt School of Finance and Management - 2008

We present a closed pricing formula for European options under the BlackScholes model and formulas for its partial …

Persistent link: https://www.econbiz.de/10009642590