Showing 1 - 10 of 109
This paper analyses the relationship between the level of a return guarantee in an equity-linked pension scheme and the proportion of an investor's contribution needed to finance this guarantee. Three types of schemes are considered: investment guarantee, contribution guarantee and participation...
Persistent link: https://www.econbiz.de/10008521820
In order to explain the incidence of Granger causality between indices from the futures and the underlying cash market, as reported by numerous empirical studies in the literature, it is important to account for mean and volatility (second-order) persistence effects in the data. Further, there...
Persistent link: https://www.econbiz.de/10005112889
Determining which types of mutual (or managed) investment funds are good financial investments is complicated by potential surbivorship biases. This project adds to a small recent international literature on the patterns and determinants of mutual fund survivorship. We use statistical techniques...
Persistent link: https://www.econbiz.de/10004984479
The phenomenon of the frequency basis (i.e. a spread applied to one leg of a swap to exchange one oating interest rate for another of a different tenor in the same currency) contradicts textbook no-arbitrage conditions and has become an important feature of interest rate markets since the...
Persistent link: https://www.econbiz.de/10011163379
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
We analyse the effect of differing uncertainty assumptions on the costs of shareholder-bondholder conflicts arising from partially debt-financed investments. A partial equilibrium model, valid for a large class of diffusion processes, is developed and then applied to the specific cases of a...
Persistent link: https://www.econbiz.de/10010883495
This paper investigates the effect of operating leverage, and the subsequent abandonment option available to managers, on the relationship between corporate earnings and optimal financial leverage, thereby providing an alternative (rational) explanation for the observed negative relationship...
Persistent link: https://www.econbiz.de/10010883498
This paper investigates the information content of futures option prices when the futures price is regulated while the futures option price itself is not. The New York Board of Trade provides the empirical setting for this type of dichotomy in regulation. Most commodity derivatives markets...
Persistent link: https://www.econbiz.de/10004984451
In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by...
Persistent link: https://www.econbiz.de/10004984452
This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling and risk measurement. It is based on the natural assumption that investors prefer more or less, in the sense that the higher drift is preferred. Each such investor is shown to hold an...
Persistent link: https://www.econbiz.de/10004984454