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Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
Röthig, Andreas; Chiarella, Carl - Finance Discipline Group, Business School - 2006
This article explores nonlinearities in the response of speculators’ trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...
Persistent link: https://www.econbiz.de/10004984572
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Investments for the Short and Long Run
Platen, Eckhard - Finance Discipline Group, Business School - 2005
to adjust his or her risk aversion at any time. In a general continuous market, a two fund separation result is derived … fraction of its wealth invested in the growth optimal portfolio and the remaining fraction in the savings account. The risk … is usually not rational to reduce risk aversion further than is necessary to achieve the maximum growth rate. Assuming an …
Persistent link: https://www.econbiz.de/10005041748
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Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking
Colwell, D.; El-Hassan, Nadima; Kwon, Oh-Kang - Finance Discipline Group, Business School - 2004
The solution to the problem of hedging contingent claims by local risk-minimisation has been considered in detail in … tau1 <> tau2, the strategy that is locally risk-minimising for Xtau1 is in general not locally risk-minimising for Xtau2 … locally risk-minimising for Xtau for all tau. That is, a strategy that is locally risk-minimising for the entire process Xt …
Persistent link: https://www.econbiz.de/10005041739
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Does More Frequent Trading Increase the Volatility? – Theoretical Evidence at Asset and Portfolio Level
Hong, KiHoon Jimmy - Finance Discipline Group, Business School - 2013
This paper investigates the sensitivity of asset and portfolio price volatility with respect to the minimum available trading interval that the price is quoted. The objective of the study is to find the theoretical impact of high frequency trading on asset and portfolio volatilities, using a...
Persistent link: https://www.econbiz.de/10010883507
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A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2014
This paper considers a new class of Monte Carlo methods that are combined with PDE expansions for the pricing and hedging of derivative securities for multidimensional diffusion models. The proposed method combines the advantages of both PDE and Monte Carlo methods and can be directly applied to...
Persistent link: https://www.econbiz.de/10010888484
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Three-Benchmarked Risk Minimization for Jump Diffusion Markets
Du, Ke; Platen, Eckhard - Finance Discipline Group, Business School - 2011
numerraire portfolio, as reference unit. The proposed concept of benchmarked risk minimization generalizes classical risk … integrability of contingent claims and the existence of an equivalent risk neutral probability measure. The proposed concept of … benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing …
Persistent link: https://www.econbiz.de/10009357762
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Credit Derivative Evaluation and CVA under the Benchmark Approach
Baldeaux, Jan; Platen, Eckhard - Finance Discipline Group, Business School - 2013
In this paper, we discuss how to model credit risk under the benchmark approach. Firstly we introduce an affine credit … risk model. We then show how to price credit default swaps (CDSs) and introduce credit valuation adjustment (CVA) as an …
Persistent link: https://www.econbiz.de/10010754094
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The Affine Nature of Aggregate Wealth Dynamics
Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2012
The paper derives a parsimonious two-component affine diffusion model for a world stock index to capture the dynamics of aggregate wealth. The observable state variables of the model are the normalized index and the inverse of the stochastic market activity, both modeled as square root...
Persistent link: https://www.econbiz.de/10010754096
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Modeling of Oil Prices
Du, Ke; Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2012
The paper derives a parsimonious two-component affine diffusion model with one driving Brownian motion to capture the dynamics of oil prices. It can be observed that the oil price behaves in some sense similarly to the US dollar. However, there are also clear differences. To identify these the...
Persistent link: https://www.econbiz.de/10010754099
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Approximating the Numeraire Portfolio by Naive Diversification
Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2010
Estimation theory has shown, due to the limited estimation window available for real asset data, the sample based Markowitz mean-variance approach produces unreliable weights which fluctuate substantially over time. This paper proposes an alternate approach to portfolio optimization, being the...
Persistent link: https://www.econbiz.de/10008483767