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Föllmer, Hans; Leukert, Peter - 1998

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

Persistent link: https://www.econbiz.de/10009574876

Implied volatility string dynamics

Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - 2003

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this …, neglects the degenerated string structure of the implied volatility data and may result in a severe modelling bias. We propose … value at risk computations and scenario analysis. -- Implied Volatility Surface ; Smile ; Generalized Additive Models …

Persistent link: https://www.econbiz.de/10009663844

Efficient hedging : cost versus shortfall risk

Föllmer, Hans; Leukert, Peter - 1999

-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …

Persistent link: https://www.econbiz.de/10009579176

Default compensator, incomplete information, and the term structure of credit spreads

Giesecke, Kay - 2001

We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...

Persistent link: https://www.econbiz.de/10009620780

Giesecke, Kay - 2001

We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers' assets and defaults, we suppose that they are not informed about the threshold asset level at which a firm is liquidated. Bond investors form instead a prior on these...

Persistent link: https://www.econbiz.de/10009621426

Compensator-based simulation of correlated defaults

Giesecke, Kay - 2002

The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...

Persistent link: https://www.econbiz.de/10009624843

Real estate valuation according to standardized methods : an empirical analysis

Schulz, Rainer - 2002

Appraisals are needed for decision-making and for performance evaluation. Knowledge on the accuracy of valuation methods is of general interest for banks and investors. We assess the accuracy of the German Regulation on Valuation with monthly data on appraisals and prices for commercial...

Persistent link: https://www.econbiz.de/10009625798

Credit risk modeling and valuation : an introduction

Giesecke, Kay - 2002

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit...

Persistent link: https://www.econbiz.de/10009625799

A state space model for Berlin house prices

Schulz, Rainer; Werwatz, Axel - 2001

How risky are investments in residential real estate? To answer this question, information is needed about the behavior of house prices. The hedonic methodology has become a standard approach for modelling the prices of heterogeneous assets. Although intuitively appealing, it is often criticized...

Persistent link: https://www.econbiz.de/10009614878

No free lunch for large investors

Bank, Peter - 1999

We study an extension of the classical B1ack-Scholes model which accounts for feedback effects from trading in an imperfectly elastic market. The proposed semi-martingale model may be viewed as a compromise between the diffusion approach in, e.g., (Cuoco and Cvitanic 1998), (Cvitanic and Ma...

Persistent link: https://www.econbiz.de/10009580477

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