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Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...

Persistent link: https://www.econbiz.de/10011538865

A tree Implementation of a credit spread model for credit derivatives

Schönbucher, Philipp J. - 2000 - This version June 1999

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...

Persistent link: https://www.econbiz.de/10011538904

A Libor market model with default risk

Schönbucher, Philipp J. - 2000 - This version December 2000

. For options on default swaps and caps on credit spreads, approximate solutions of high accuracy exist. This pricing … formula for options on default swaps is made exact in a modified modelling framework using an analogy to the swap measure, the …

Persistent link: https://www.econbiz.de/10011539796

Clustering of trading activity in the DAX index options market

Koch, Alexander K.; Lazarov, Zdravetz N. - 2001

Trades in DAX index options with identical maturities cluster around particular classes of strike prices. For example …, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options … with close strike prices are good substitutes. The degree of substitution between options with neighboring strikes depends …

Persistent link: https://www.econbiz.de/10011539670

Price discovery in floor and screen trading systems

Theissen, Erik - 2001

We analyze price discovery in floor-based and electronic exchanges using data from the German stock market. We find that both markets contribute to price discovery. There is bidirectional Granger causality, and prices from both markets adjust to deviations from the long-run equilibrium. We use...

Persistent link: https://www.econbiz.de/10011540052

Asymptotic maturity behavior of the term structure

Schulze, Klaas (contributor) - 2008

Pricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with infinitely increasing maturities: long...

Persistent link: https://www.econbiz.de/10003782340