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Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

Persistent link: https://www.econbiz.de/10011256871

Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect … from other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …

Persistent link: https://www.econbiz.de/10011268659

Pricing and Hedging Guaranteed Annuity Options via Static Option Replication

Pelsser, Antoon - Tinbergen Instituut - 2002

In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...

Persistent link: https://www.econbiz.de/10011255515

Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices

Kilic, Mehtap; Huisman, Ronald - Tinbergen Instituut - 2010

Electricity is not storable. As a consequence, electricity demand and supply need to be in balance at any moment in time as a shortage in production volume cannot be compensated with supply from inventories. However, if the installed power supply capacity is very flexible, variation in demand...

Persistent link: https://www.econbiz.de/10011255605

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Instituut - 2006

process, at present this is not the case for the Heston stochastic volatility model, where the variance is modelled as a …

Persistent link: https://www.econbiz.de/10011255776

The Joint Estimation of Term Structures and Credit Spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - Tinbergen Instituut - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

Persistent link: https://www.econbiz.de/10011255975

The Forward Premium Puzzle only emerges gradually

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - Tinbergen Instituut - 2007

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

Persistent link: https://www.econbiz.de/10011256149

Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - Tinbergen Instituut - 2015

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing di¤erent stock prices at a xed future date. The construction of these measures is based on the...

Persistent link: https://www.econbiz.de/10011256168

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...

Persistent link: https://www.econbiz.de/10011256210

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2013

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …

Persistent link: https://www.econbiz.de/10011256372