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Asset Pricing with Matrix Jump Diffusions

Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

Persistent link: https://www.econbiz.de/10009248844

Price Impact and Portfolio Impact

Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2010

We study survival, price impact and portfolio impact in heterogeneouseconomies. We show that, under the equilibrium risk-neutral measure,long-run price impact is in fact equivalent to survival, whereas longrunportfolio impact is equivalent to survival under an agent-specic,wealth-forward...

Persistent link: https://www.econbiz.de/10009305110

Three Solutions to the Pricing Kernel Puzzle

Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010

The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …

Persistent link: https://www.econbiz.de/10009305117

Liquidity Models in Continuous and Discrete Time

Roch, Alexandre F.; Gökay, Selim; Soner, H. Mete - Swiss National Centre of Competence in Research North … - 2010

The study of liquidity in financial markets either invokes the ease with whichfinancial securities can be bought and sold, or addresses the ability to tradewithout triggering important changes in asset prices. More specifically, onecan think of liquidity as an exogenous measure of the added...

Persistent link: https://www.econbiz.de/10009305121

Aircraft Noise Derivatives

Dalbert, Curdin; Vanini, Paolo - Swiss National Centre of Competence in Research North … - 2009

Changing noise levels have a severe impact on house prices and through the leveragein nancing on households wealth. This risk is essential for houses close to airportswith uncertain aircraft regimes. We design and calibrate real options based on aircraftnoise to hedge against noise risk. The...

Persistent link: https://www.econbiz.de/10005868724

Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneousand Long-Lived Funds

Cvitani, Jaksa; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009

We perform a detailed asymptotic analysis of the equilibrium behavior of the assetprices, wealth size and portfolio weights in complete markets equilibria, with long-livedfunds. In equilibrium, the fund with the (closest to) log preference will dominate theother funds in size, in the long-run,...

Persistent link: https://www.econbiz.de/10005868786

Approximate Derivative Pricing for Large Class ofHomogeneous Assets

Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2008

prediction and pricing formulas for the future factorvalues and their proxies, when the size n of the class is large. Up to order …

Persistent link: https://www.econbiz.de/10005868923

Price Discovery in Illiquid Markets:Do Financial Asset Prices Rise Faster Than They Fall?

Green, Richard C.; Li, Dan; Schürhoff, Norman - Swiss National Centre of Competence in Research North … - 2008

In OTC bond markets many investors face high costs of trade, and these costs appear to berelated to the lack of price transparency. We study the consequences this has for efficient pricediscovery. Prices of municipal bonds react sluggishly to macroeconomic news. Yield spreads overtreasuries...

Persistent link: https://www.econbiz.de/10005868985