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An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model
Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2007
We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of the shifted square root jump diffusion (SSRJD) default intensity model. The formula consists of a decomposition of an option on a summation of survival probabilities in a summation...
Persistent link: https://www.econbiz.de/10008542369
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An analytically tractable time-changed jump-diffusion default intensity model
El-Bachir, Naoufel; Brigo, Damiano - Henley Business School, University of Reading - 2008
We present a stochastic default intensity model where the intensity follows a tractable jump-diffusion process obtained by applying a deterministic change of time to a non mean-reverting square root jump-diffusion process. The model generates higher implied volatilities for default swaptions...
Persistent link: https://www.econbiz.de/10008542370
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Estimating Corporate Yield Curves
Diaz, Antionio; Skinner, Frank - Henley Business School, University of Reading - 2001
This paper represents the first study of retail deposit spreads of UK financial institutions using stochastic interest rate modelling and the market comparable approach. By replicating quoted fixed deposit rates using the Black Derman and Toy (1990) stochastic interest rate model, we find that...
Persistent link: https://www.econbiz.de/10005357671
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On modelling credit risk using Arbitrage Free Models
Skinner, Frank; Diaz, Antonio - Henley Business School, University of Reading - 2001
By examining the distribution of state prices obtained from binomial versions of Jarrow and Turnbull (1995), Lando (1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest. We find that it appears worthwhile to parameterize credit risk...
Persistent link: https://www.econbiz.de/10005558314
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Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2006
credit derivatives market data. A few variants of the model are calibrated in turn to market data, and different calibration …
Persistent link: https://www.econbiz.de/10005558331
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An Exact Formula for Default Swaptions' Pricing in the SSRJD Stochastic Intensity Model
Brigo, Damiano - 2008
We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of the shifted square root jump diffusion (SSRJD) default intensity model. The formula consists of a decomposition of an option on a summation of survival probabilities in a summation...
Persistent link: https://www.econbiz.de/10012726119
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An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options
Arismendi, Juan C.; Prokopczuk, Marcel - Henley Business School, University of Reading - 2014
The price of a European option can be computed as the expected value of the payoff function under the risk-neutral measure. For American options and path-dependent options in general, this principle can not be applied. In this paper, we derive a model-free analytical formula for the implied...
Persistent link: https://www.econbiz.de/10010933647
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Commodity Risk Factors and the Cross-Section of Equity Returns
Brooks, Chris; Fernandez-Perez, Adrian; Miffre, Joëlle; … - Henley Business School, University of Reading - 2014
The article examines whether commodity risk is priced in the cross-section of equity returns. Alongside a long-only equally-weighted portfolio of commodity futures, we employ as an alternative commodity risk factor a term structure portfolio that captures the propensity of commodity futures...
Persistent link: https://www.econbiz.de/10010934886
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Rationalization of Investment Preference Criteria
Pézier, Jacques - Henley Business School, University of Reading - 2011
The majority of risk adjusted performance measures (RAPM) currently in use – e.g., Treynor ratio, (?/?)) ratio, Omega index, RoVaR, ‘coherent’ preference criteria, etc. – are incompat- ible with any sensible utility function and would be best avoided. We argue instead for the assessment...
Persistent link: https://www.econbiz.de/10010938095
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Liquidity Risk Premia in the International Shipping Derivatives Market
Alizadeh, Amir; Kappou, Konstantina; Tsouknidis, Dimitris; … - Henley Business School, University of Reading - 2014
The study examines the existence of liquidity risk premia on freight derivatives returns. The Amihud liquidity ratio … determining freight derivatives returns. Consistent with expectations, both liquidity measures are found to have positive and … significant effects on the returns of near-month freight derivatives contracts. The results have important implications for …
Persistent link: https://www.econbiz.de/10011210427