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On the Determinants of the Value of Call Options on Default-Free Bonds

Buser, Stephen A. - 1988

Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also produce similar estimates of bond option values. This result is established for simple option forms with known closed-form solutions as well as for more complex options that require...

Persistent link: https://www.econbiz.de/10012476537

Derivatives Usage in Risk Management by US and German Non-Financial Firms : A Comparative Survey

Bodnar, Gordon M. - 1998

This paper is a comparative study of the responses to the 1995 Wharton School survey of derivative usage among US non … derivative usage is most common, followed closely by interest rate derivatives, with commodity derivatives a distant third. In … choice of instruments, and the influence of their market view when taking derivative positions. These differences appear to …

Persistent link: https://www.econbiz.de/10012472108

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

Brandt, Michael W. - 2001

We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...

Persistent link: https://www.econbiz.de/10012470313

Regime Switches in Interest Rates

Ang, Andrew - 1998

econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong …

Persistent link: https://www.econbiz.de/10012472295

High Yields : The Spread on German Interest Rates

Favero, Carlo - 1996

bonds between high yielders, namely Italy, Spain, Sweden and Germany. In particular we address the question of the relative …

Persistent link: https://www.econbiz.de/10012473456

A Multi-Country Comparison of Term Structure Forecasts at Long Horizons

Jorion, Philippe - 1991

besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and …

Persistent link: https://www.econbiz.de/10012475446

Low Interest Rates, Policy, and the Predictive Content of the Yield Curve

Bordo, Michael D. - 2020

historical data going back to the 19th century for the US and more recent data for the UK, Germany, and Japan. This paper is …

Persistent link: https://www.econbiz.de/10012481239

Regime-Switching Behavior of the Term Structure of Forward Markets

Tchernykh, Elena - 2005

This paper presents techniques for modelling and estimating the behavior of financial market price or return differentials that follow non-linear regime-switching behaviour. The methodology to be used here is estimation of variants of threshold autoregression (TAR) models. In the basic model the...

Persistent link: https://www.econbiz.de/10012467162

Futures Prices in a Production Economy with Investment Constraints

Kogan, Leonid - 2005

Persistent link: https://www.econbiz.de/10012467170

Should We Fear Derivatives?

Stulz, Rene M. - 2004

This paper discusses the extent to which derivatives pose threats to firms and to the economy. After reviewing the derivatives markets and putting in perspective the various measures of the size of these markets, the paper shows who uses derivatives and why. The difficulties firms face in...

Persistent link: https://www.econbiz.de/10012468119