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Theory and Calibration of Swap Market Models

Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

argue that the co-terminal approach is the simplest andmost convenient market mo del for pricing and hedging a large variety …

Persistent link: https://www.econbiz.de/10005858304

Multi-Currency Quadratic Models : Theory and Evidence

Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

The challenge of international term structure models is to simultaneously account for the properties of interest rate term structures and foreign exchange rates within an arbitrage-free framework. We extend the quadratic term structure models proposed in Leippold and Wu (2002) to multiple...

Persistent link: https://www.econbiz.de/10005858853

Efficient Portfolios with Endogenous Liabilities

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We study the optimal policies and mean-variance frontiers (MVF) of a multiperiod mean-variance optimization of assets and liabilities (AL). Our model allows for a contemporaneous optimization of the balance-sheet as a whole. This makes the analysis more challenging than in a setting based on...

Persistent link: https://www.econbiz.de/10005858859

Analyzing Credit Risk in Default Swap Transaction Data : Is Fixed-Income Markets Information Sufficient to Evaluate Credit Risk?

Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...

Persistent link: https://www.econbiz.de/10005859382

Risk Management for Derivatives in Illiquid Markets : A Simulation-Study

Frey, Rüdiger; Patie, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

In this paper we study the hedging of derivatives in illiquid markets. More specifically we consider a model where the … implementation of a hedging strategy affects the price of the underlying security. Following earlier work we characterize perfect … hedging strategies by a nonlinear version of the Black-Scholes PDE. The core of the paper consists of a simulation study. We …

Persistent link: https://www.econbiz.de/10005859384

Stock Options and Managers Incentives to cheat

Chesney, Marc; Gibson-Asne, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006

We develop a continuous-time real options pricing model to study managersincentives to cheat in the presence of equity …s main result is that managers havegreater incentives to misreport with stock options than with common stocks.We ﬁnally …

Persistent link: https://www.econbiz.de/10005857972

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

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

This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov 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...

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

Modelling Dynamic Portfolio Credit Risk

Rogge, Ebbe; Schoenbucher, Phillip J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

also sensitivities can be given in closed-form which facilitates the development of hedging strategies based upon the model …

Persistent link: https://www.econbiz.de/10005858551

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

Leippold, Markus; Wiener, Zvi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this paper we discuss the implementation of general one-factor short rate models with a trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold. First, we show how trees can be spanned using a set of general branching processes. Secondly, we improve...

Persistent link: https://www.econbiz.de/10005858854

On the Forward-Futures Spread and Default Risk

Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We develop intuitive expressions for the spread between a forwardcontract and a similar futures contract taking into … account the pos-sibility of counterparty default. We evaluate these expressions nu-merically and show that the forward-futures … spread is signiﬁcant forrealistic parameter values. Our results contrast the wide-spread beliefthat the forward-futures …

Persistent link: https://www.econbiz.de/10005858907