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Detecting Informed Trading Activities in the OptionsMarkets

Chesney, Marc; Crameri, Remo; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2009

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...

Persistent link: https://www.econbiz.de/10005868704

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

Implied Volatility and Risk Aversion in A Simple Model with Uncertain Growth

Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2006

volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

Persistent link: https://www.econbiz.de/10005858509

Stock Returns in Mergers and Acquisitions

Hackbarth, Dirk; Morellec, Erwan - Institut für Schweizerisches Bankwesen <Zürich> - 2006

This paper develops a real options framework to analyze the behavior of stock returns in mergers and acquisitions. In this framework, the timing and terms of takeovers are endogenous and result from value-maximizing decisions. The implications of the model for abnormal announcement returns are...

Persistent link: https://www.econbiz.de/10005858239

Default-Risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors

Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three … different types of risk, was obtained. Introducing the risk of systematic changes in the market liquidity added more risks. A … model of a market with heterogeneously informed investors, having access to discrete information ﬁltrations, was speciﬁed …

Persistent link: https://www.econbiz.de/10005858310

Default Correlation in a Markov-Chain Credit Migration Model with Contagion Effects

Gibson, Rajna; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...

Persistent link: https://www.econbiz.de/10005858812

Misspecified Filtering Theory applied to Optimal Allocation Problems in Finance

Martinez, Miguel; Rubenthaler, Sylvain; Tanr, Etienne - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In this paper, we consider an investor who plays in a market that involves a risky asset whose instantaneous rate of return changes at unknown random times. This return rate is assumed to follow the law of a Compound Poisson Process. We construct optimal mathematical strategies in this context...

Persistent link: https://www.econbiz.de/10005858585

Technical Analysis Compared to Mathematical Models Based Methods Under Misspecification

Blanchet-Scaillet, Christophe; Diop, Awa; Gibson, Rajna; … - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct...

Persistent link: https://www.econbiz.de/10005858764

Option Pricing with Aggregation of Physical Models and Nonparametric Statistical Learning

Fan, Jianqing; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Financial models are largely used in option pricing. These physical models capture several salient features of asset price dynamics. The pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches, that empirically learn and correct pricing...

Persistent link: https://www.econbiz.de/10005858326

American Parisian Options

Chesney, Marc; Gauthier, Laurent - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the...

Persistent link: https://www.econbiz.de/10005858581

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