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Puopolo, Giovanni W. - Finrisk - 2009

This paper studies the asset pricing implications of a general equi-librium model in which real investment is …

Persistent link: https://www.econbiz.de/10009022140

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

Is the Pricing Kernel U-Shaped?

Schweri, Urs - National Centre of Competence in Research - Financial … - 2011

There is strong empirical evidence that the pricing kernel is Ushaped,which provides a way to explain the substantial … coskewnesspremium. Existing studies typically use a polynomial approximationof the pricing kernel. Problematically, these polynomials …

Persistent link: https://www.econbiz.de/10009418982

Multiple Trees Subject to Event Risk

Porchia, Paolo; Trojani, Fabio - National Centre of Competence in ResearchFinancial … - 2009

We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …

Persistent link: https://www.econbiz.de/10005868703

Hazard Processes and Martingale Hazard Processes

Coculescu, Delia; Nikeghbali, Ashkan - National Centre of Competence in ResearchFinancial … - 2009

In this paper, we build a bridge between different reduced-form approaches to pricing defaultable claims. In particular … of Collin Dufresne et al. [8], wepropose a simple pricing formula under an equivalent change of measure.Two processes …

Persistent link: https://www.econbiz.de/10005868712

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

Loan Pricing: Thinking Collateral

Akgün, Aydin; Vanini, Paolo - National Centre of Competence in ResearchFinancial … - 2009

We introduce a framework for analyzing the interplay between credit risk and collateralmarket risk on loan pricing. To …. The framework allows usto develop semi-analytical pricing formulae for loans where the borrower's creditworthinessand …

Persistent link: https://www.econbiz.de/10005868725

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