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Correlation Risk and Optimal Portfolio Choice
Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand …
Persistent link: https://www.econbiz.de/10005858523
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The Joy of Volatility
Dempster, Michael A.H.; Evstigneev, Igor V.; … - Institut für Schweizerisches Bankwesen <Zürich> - 2007
up this profitable opportunity to generate growthfrom volatility. …
Persistent link: https://www.econbiz.de/10005858210
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Finance and Efficiency: Do Bank Branching Regulations Matter?
Acharya, Viral V.; Imbs, Jean; Sturgess, Jason - Institut für Schweizerisches Bankwesen <Zürich> - 2007
primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …
Persistent link: https://www.econbiz.de/10005858336
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The Economic Value of Distributional Timing
Jondeau, Eric; Rockinger, Michael - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the … high as the fee she is willing to pay to benefit from volatility timing. Many tests of robustness are performed, yet, the …
Persistent link: https://www.econbiz.de/10005858337
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Exponential utility indifference valuation in two Brownian settings with stochastic correlation
Frei, Christoph; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...
Persistent link: https://www.econbiz.de/10005857735
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008
individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …
Persistent link: https://www.econbiz.de/10005857736
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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
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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
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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
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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