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General Equilibrium and Risk Neutral Framework forOption Pricing with Mixture of Distributions

Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006

This paper develops a closed form risk-neutral valuation model for pricing Europeanstyle options when the underlying …

Persistent link: https://www.econbiz.de/10005870098

A general equilibrium and preference free model for pricing options under transformed gamma distribution

Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006

distributed underlying asset. Closed formand preference free European option pricing formulae are derived for a variety of …(transformed) gamma distributions, and Heston’s (1993) model is obtained as aspecial case. The option pricing framework developed here … significantly extendsthe Gaussian class distributions embedded in current option pricing theories... …

Persistent link: https://www.econbiz.de/10005870109

The response of industry stock returns to market, exchange rate and interest rate risks

Hyde, Stuart - Manchester Business School - 2007

This study investigates the sensitivity of stock returns at the industry level to market, exchange rateand interest rate shocks in the four major European economies: France, Germany, Italy and the UK.In addition to exposure to the market, significant levels of exposure to both exchange rate...

Persistent link: https://www.econbiz.de/10005870157

Asset Allocation under Multivariate Regime Switching

Guidolin, Massimo; Timmermann, Allan - Manchester Business School - 2006

This paper studies asset allocation decisions in the presence of regime switching in asset returns. Wefind evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states- are required to capture the joint distribution of stock and bond returns. Optimal asset...

Persistent link: https://www.econbiz.de/10005870161

Estimating the Fama and French Factors in the UK - An Empirical Review

Michou, Maria; Mouselli, Sulaiman; Stark, Andrew - Manchester Business School - 2007

The Fama and French (1993) three factor model has been used in controlling for risk in theestimation of abnormal returns stemming from various events (e.g., IPOs, takeovers, etc.),portfolio strategies (e.g., those exploiting accounting numbers such as post-earningsannouncement drift or total...

Persistent link: https://www.econbiz.de/10005870318

Non-Linear Predictability in Stock and Bond Returns:When and Where Is It Exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - Manchester Business School - 2008

We systematically examine the comparative predictive performance of a number of alternativelinear and non-linear models for stock and bond returns in the G7 countries. Besides Markovswitching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regimeswitching...

Persistent link: https://www.econbiz.de/10005870517

Tranching and Rating

Brennan, Michael; Hein, Julia; Poon, Ser-Huang - Manchester Business School - 2008

thehypothesized pricing system. Increasing the systematic risk or reducing the total risk of the bondcollateral increases the profits …

Persistent link: https://www.econbiz.de/10005870670

What Drives Stochastic Risk Aversion

Cho, Sung-Jun - Manchester Business School - 2009

I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time …

Persistent link: https://www.econbiz.de/10005870706

Investitionen in Collateralized Debt Obligations

Heidorn, Thomas; König, Lars - Frankfurt School of Finance & Management - 2003

The paper deals with the evaluation of Collateralized Debt Obligations forinvestment purposes. CDOs are classified in the asset backed environment. Itsspecific risks (market, timing, recovery, agency) are discussed. To understand theportfolio aspect, the concept of the diversity score is...

Persistent link: https://www.econbiz.de/10005865826

Modeling Default Dependence with Threshold Models

Overbeck, Ludger; Schmidt, Wolfgang - Frankfurt School of Finance & Management - 2003

We investigate the problem of modeling defaults of dependent credits.In the framework of the class of structural default models we studythreshold models where for each credit the underling ability-to-payprocess is a transformation of a Wiener processes. We propose a modelfor dependent defaults...

Persistent link: https://www.econbiz.de/10005865832