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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

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

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

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

Mini-perm Structures in PPP Contracts: Risks and Opportunities

Dupas, Nicolas; Marty, Frédéric; Voisin, Arnaud - HAL - 2011

Prior to the 2008 financial crisis, the economic model of PPPs benefited from a very favorable environment in terms of credit availability and cost. The high level of liquidity in financial markets allowed rising abundant and not expensive external resources, because of both the low level of...

Persistent link: https://www.econbiz.de/10010541078

Extreme Value at Risk and Expected Shortfall during Financial Crisis

Kourouma, L.; Dupre, D.; Sanfilippo, G.; Taramasco, O. - HAL - 2011

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the conditional models. This underestimation is...

Persistent link: https://www.econbiz.de/10009399186

Continuous time regime switching model applied to foreign exchange rate.

Goutte, Stéphane; Zou, Benteng - HAL - 2012

Modified Cox-Ingersoll-Ross model is employed, combining with Hamilton (1989) type Markov regime switching framework, to study foreign exchange rates, where all parameter values depend on the value of a continuous time Markov chain. Basing on real data of some foreign exchange rates, the...

Persistent link: https://www.econbiz.de/10009422114

The 2007-2008 financial crisis: Is there evidence of disaster myopia?

Cornand, Camille; Gimet, Céline - HAL - 2012

The disaster myopia hypothesis is a theoretical argument that may explain why crises are a recurrent event. Under very optimistic circumstances, investors disregard any relevant information concerning the increasing degree of risk. Agents' propensity to underestimate the probability of adverse...

Persistent link: https://www.econbiz.de/10009278316

A multi-horizon scale for volatility

Subbotin, Alexander - HAL - 2008

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic indicator for valatilities, analogous to the Richter scale in geophysics. The peak-over-threshold method is used to fit the generalized Pareto probability distribution for the...

Persistent link: https://www.econbiz.de/10010750636

Financial instability and functional finance : a Lerner-Minsky perspective

Ülgen, Faruk - HAL - 2012

The 2007/08 financial crisis results in two major problems that issue difficult challenges for the economic theory and policy. The first challenge is the rise of unemployment notwithstanding growing imbalances of budget deficits. The second is the monetary and financial instability threatening...

Persistent link: https://www.econbiz.de/10010898561