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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
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Libor Market Model with Regime-Switching Volatility
Elliott, Robert; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2004
This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the … instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the … volatility is modelled by a square root process with a regime-switching reference level. We obtain analytical solutions for the …
Persistent link: https://www.econbiz.de/10005858810
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Risk Management for Derivatives in Illiquid Markets : A Simulation-Study
Frey, Rüdiger; Patie, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …
Persistent link: https://www.econbiz.de/10005859384
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Efficient Derivative Pricing by Extended Method of Moments
Gagliardini, Patrick; Gourieroux, Christian; Renault, E - Institut für Schweizerisches Bankwesen <Zürich> - 2005
are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …
Persistent link: https://www.econbiz.de/10005858515
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Variance risk, financial intermediation, and thecross-section of expected option returns
Schürhoff, Norman; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2011
pricing dierencesbetween index and stock options, the cross-sectional variation in stock option expensiveness,the volatility …
Persistent link: https://www.econbiz.de/10009354100
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Ambiguity Aversion and the Term Structure of Interest Rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10005858032
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Theory and Calibration of Swap Market Models
Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This pap er intro duces a general framework for market mo dels, namedM arket M o del Approach, through the concept of admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by showing that a set is admissible if and only ifthe...
Persistent link: https://www.econbiz.de/10005858304
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Optimal Investment in Variance Swaps Under Stochastic Volatility
Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006
span the volatility risk, an investor increases her investment in theunderlying stock. In addition, the investors indirect … utility increases significantly when allowed to span the volatility risk using variance swap contracts. …
Persistent link: https://www.econbiz.de/10005858375
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Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks
Brumen, Gorazd; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The paper investigates how buyer-supplier firm-specific relationships affect security prices. Starting from the empirical inconsistencies associated with some standard structural models we propose a structural model of firm dependence in a vertically connected network of firms based on cash flow...
Persistent link: https://www.econbiz.de/10005858385
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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