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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

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

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

The impact of heterogeneous beliefs on trading volume

Bauer, Wolfgang - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...

Persistent link: https://www.econbiz.de/10005857971

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

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

adjusted to the volatility structure. The proposed approach leads to an efficient and exible constron met for trinomial trees …

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

Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices

Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

Persistent link: https://www.econbiz.de/10005857785

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-based compensation policies.We show that managers incentives to cheat are strongly inﬂuenced by theefﬁciency of the justice. Our models main result is that managers...

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