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No-arbitrage macroeconomic determinants of the yield curve
Bikbov, Ruslan; Chernov, Mikhail - HAL - 2010
No-arbitrage macro-finance models use variance decompositions to gauge the extent of association between the macro variables and yields. We show that results generated by this approach are sensitive to the order of variables in the recursive identification scheme. In a four-factor model, one may...
Persistent link: https://www.econbiz.de/10010774284
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No-arbitrage macroeconomic determinants of the yield curve
Bikbov, Ruslan; Chernov, Mikhail - HAL - 2010
No-arbitrage macro-finance models use variance decompositions to gauge the extent of association between the macro variables and yields. We show that results generated by this approach are sensitive to the order of variables in the recursive identification scheme. In a four-factor model, one may...
Persistent link: https://www.econbiz.de/10010570527
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Generating Yield Curve Stress-Scenarios
Charpentier, Arthur; Villa, Christophe - HAL - 2010
Several authors have proposed to combine movements in princi- pal components to generate scenarios of "large" historical changes in term structures, i.e. stress-scenarios. This approach, however, has at least two shortcommings. This paper answers at these two problems and proposes a general...
Persistent link: https://www.econbiz.de/10008793692
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Les origines du modèle de marche au hasard en finance
Walter, Christian - HAL - 2013
Le modèle de marche au hasard en finance peut être considéré comme issu de la convergence de trois préoccupations distinctes : une préoccupation morale avec Jules Regnault (1834-1894), une préoccupation scientifique avec Louis Bachelier (1870-1946), et une préoccupation financière avec...
Persistent link: https://www.econbiz.de/10010899792
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Hedging under an expected loss constraint with small transaction costs
Bouchard, Bruno; Moreau, Ludovic; Soner, Mete - HAL - 2013
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …
Persistent link: https://www.econbiz.de/10010933872
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Window double barrier options
Guillaume, Tristan - HAL - 2003
also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …
Persistent link: https://www.econbiz.de/10010820456
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Dynamic hedging of portfolio credit derivatives
Cont, Rama; Kan, Yu Hang - HAL - 2011
We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for …-dimensional bottom-up models perform better than simpler top-down models. When it comes to hedging, top-down and regression-based hedging …
Persistent link: https://www.econbiz.de/10008873568
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Disagreement-Based Trading and Speculation: Implications for Financial Regulation and Economic Theory
Biondi, Yuri - HAL - 2011
Lynn Stout's paper develops an insightful legal-economic analysis of speculative trading. From one hand, the paper discusses the legal-economic framework of speculation and its recent transformation, making reference to the case of derivatives markets crash (and related financial crisis) of...
Persistent link: https://www.econbiz.de/10008835378