Narrow search
Showing 1 - 7 of 7
Cover Image
Asset Pricing, Habit Memory, and the Labor Market
Jaccard, Ivan - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This study finds that a model with internal habit memory allowsto simultaneously explain a series of business cycle and asset pricing puzzles. Compared to the literature, the equity premium puzzle can be resolved in a model with endogenous labor, without giving rise to excessive risk free rate...
Persistent link: https://www.econbiz.de/10005858035
Cover Image
Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates
Medvedev, Alexey; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008
existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …
Persistent link: https://www.econbiz.de/10005857779
Cover Image
Arbitrage-free market models for option prices
Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account …-option market models with a prespecified volatility structure. …
Persistent link: https://www.econbiz.de/10005857780
Cover Image
Difference in Beliefs and Currency Options Markets
Beber, Alessandro; Breedon, Francis; Buraschi, Andrea - Institut für Schweizerisches Bankwesen <Zürich> - 2007
and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility … smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …
Persistent link: https://www.econbiz.de/10005858023
Cover Image
Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - Institut für Schweizerisches Bankwesen <Zürich> - 2007
price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two …
Persistent link: https://www.econbiz.de/10005857774
Cover Image
Arbitrage in Stationary Markets
Evstigneev, Igor; Kapoor, Dhruv - Institut für Schweizerisches Bankwesen <Zürich> - 2007
discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …
Persistent link: https://www.econbiz.de/10005857775
Cover Image
When It Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News on Bond Returns in Expansions and Recessions
Beber, Alessandro; Brandt, Michael W. - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … macroeconomic news impacts substantially the volatility of bond returns at all maturities by increasing jump intensities and by …
Persistent link: https://www.econbiz.de/10005858024