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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

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

The impact of fundamental and financial traders on the term structure of oil

Heidorn, Thomas; Mokinski, Frieder; Rühl, Christoph; … - Frankfurt School of Finance and Management - 2014

We study how the exposure of fundamental and financial traders affects the futures curve of WTI oil and the market integration between WTI and Brent as measured by their price spread. To obtain a parsimonious representation of the futures curve, we decompose it into a level-, a slope- and a...

Persistent link: https://www.econbiz.de/10010985136

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

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

Accelerating the calibration of stochastic volatility models

Kilin, Fiodar - Frankfurt School of Finance and Management - 2007

This paper compares the performance of three methods for pricing vanilla options in models with known characteristic …

Persistent link: https://www.econbiz.de/10009642572

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

Forward-start options in the Barndorff-Nielsen-Shephard Model

Keller-Ressel, Martin; Kilin, Fiodar - Frankfurt School of Finance and Management - 2008

We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In …

Persistent link: https://www.econbiz.de/10009642578

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