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Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
Dudenhausen, Antje - University of Bonn, Germany - 2002
We consider a standard two-player all-pay auction with private values, where the valuation for the object is private information to each bidder. The crucial feature is that one bidder is favored by the allocation rule in the sense that he need not bid as much as the other bidder to win the...
Persistent link: https://www.econbiz.de/10005001489
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A Term Structure Model and the Pricing of Interest Rate Derivative
Sandmann, K.; Sondermann, D. - University of Bonn, Germany - 1993
support is derived for the spot rate return. The model permits the arbitrage free valuation of bond options and interest rate … options and produces dynamic portfolio strategies to duplicate these contracts. …
Persistent link: https://www.econbiz.de/10005032172
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On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales
Christopeit, Norbert - University of Bonn, Germany - 1994
means that for every contingent claim there exists a hedging strategy minimizing the expected square of net loss. …
Persistent link: https://www.econbiz.de/10005085669
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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
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Closed form representations for the minimal hedging portfolios of American type contingent claims
Vishnyakov, A. N.; Kramkov, D.O. - University of Bonn, Germany - 1994
minimal hedging portfolios for a number of reward processes of the ``classical'', lookback and Asian type. These results …
Persistent link: https://www.econbiz.de/10004968196
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Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets
Sommer, Daniel - University of Bonn, Germany - 1998
We develop a new approach to pricing and hedging contingent claims in incomplete markets. Mimicking as closely as … can derive unique prices and corresponding optimal hedging strategies without invoking specific assumptions on preferences … explicitly taking into account optimal hedging strategies leads to positive market prices of risk for volatility even if the …
Persistent link: https://www.econbiz.de/10004968199
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A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk
Frey, Rüdiger; Sommer, Daniel - University of Bonn, Germany - 1995
We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model … provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards …. futures and exchange rates. We also cover the pricing and hedging of options to exchange two Black-Scholes type options for …
Persistent link: https://www.econbiz.de/10004968300
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Fixed income strategies for trading and for asset management
Tinschert, Jonas; Cremers, Heinz - Frankfurt School of Finance and Management - 2012
and the bonds are often let outright in the investment portfolio. Hedging tools are used to protect the portfolio against …
Persistent link: https://www.econbiz.de/10010957473
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Continuous-Time Term Structure Models
Musiela, Marek; Rutkowski, Marek - University of Bonn, Germany - 1996
pagehe problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices or LIBOR rates, rather than on the instantaneous rates as in the traditional models. Forward and spot probability measures are...
Persistent link: https://www.econbiz.de/10005085674
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Maximal Arbitrage
Schürger, Klaus - University of Bonn, Germany - 2002
Let S=(S_t), t=0,1,...,T (T being finite), be an adapted R^d-valued process. Each component process of S might be interpreted as the price process of a certain security. A trading strategy H=(H_t), t= 1,...,T, is a predictable R^d-valued process. A strategy H is called extreme if it represents a...
Persistent link: https://www.econbiz.de/10005085680