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Option Pricing with Discrete Rebalancing

PRIGENT, Jean-Luc; RENAULT, Olivier; SCAILLET, Olivier - Swiss Finance Institute - 2002

measure is then provided together with the hedging strategy underlying port-folio adjustments. Two examples illustrate our …

Persistent link: https://www.econbiz.de/10005264584

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?

Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Swiss Finance Institute - 2002

We investigate the influence of various fundamental variables on a cross-section of credit default swap transaction data. Credit default swap rates can be seen as a superior proxy to credit risk than bond spreads are. Because we have transaction prices rather than quotes, we have thus...

Persistent link: https://www.econbiz.de/10005248398

Sovereign Debt Contract and Optimal Consumption-Investment Strategies

DEMCHUK, Andriy - Swiss Finance Institute - 2003

We present a model in which a sovereign country optimally decides on its consumption and investment policies as well as on the optimal time to default. In the paper we allow the sovereign borrower to keep the fraction of its augmented wealth in so-called international reserves. We further assume...

Persistent link: https://www.econbiz.de/10005248402

Defaultable Security Valuation and Model Risk

AKGUN, Aydin - Swiss Finance Institute - 2001

defining jump terms, and correlation. The effectiveness of dynamic hedging strategies are analysed as well. …

Persistent link: https://www.econbiz.de/10005264590

Credit Spread Specification and the Pricing of Spread Options

Mougeot, Nicolas - Swiss Finance Institute

This paper presents a simple approach to the pricing of options on spread and some arguments in favor of modelling the … options have some very specific features compared to the Black-Scholes-Merton (1973) option model. Moreover, the results show … other yield derivatives, like options to exchange a yield for another or the options on the maximum or the minimum of two …

Persistent link: https://www.econbiz.de/10005771787

The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

BEBER, Alessandro; BRANDT, Michael W. - Swiss Finance Institute - 2004

We examine the effect of regularly scheduled macroeconomic announcements on the beliefs and preferences of participants in the U.S. Treasury market by comparing the option-implied state-price density (SPD) of bond prices shortly before and after the announcements. We find that the announcements...

Persistent link: https://www.econbiz.de/10005771799

Theory and Calibration of Swap Market Models

Galluccio, S.; Huang, Z.; Ly, J.-M.; Scaillet, O. - Swiss Finance Institute - 2005

that the co-terminal approach is the simplest and most convenient market model for pricing and hedging a large variety of …

Persistent link: https://www.econbiz.de/10005771800

Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling

WESTPHALEN, Michael - Swiss Finance Institute - 2002

This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange. In case of default, the sovereign offers a new bond with lower coupon and principal.The debtors accept the offer if the value of the new bonds is higher than the proceedings of the...

Persistent link: https://www.econbiz.de/10005771807

Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets.

Cossin, Didier; Jung, Gero - Swiss Finance Institute - 2005

particular in the market for hedging credit risk. This paper, based on an original dataset of transactions and quotes, looks at …

Persistent link: https://www.econbiz.de/10005771818

Why does Implied Risk Aversion Smile?

Ziegler, Alexandre - Swiss Finance Institute - 2002

A few recent papers have derived estimates of the representative agent's risk aversion by comparing the statistical density of asset returns and the state-price density. The implied risk aversion estimates obtained in these studies are puzzling, exhibiting (i) pronounced U-shaped patterns (a...

Persistent link: https://www.econbiz.de/10005771821