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The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011
managing even a single plain vanilla Swap. In this qualitative note we review the problem trying to shed some light on this …
Persistent link: https://www.econbiz.de/10011259157
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Markets Evolution After the Credit Crunch
Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012
We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...
Persistent link: https://www.econbiz.de/10011260721
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Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.
Fries, Christian P. - Volkswirtschaftliche Fakultät, … - 2010
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding …
Persistent link: https://www.econbiz.de/10008530717
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Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different …
Persistent link: https://www.econbiz.de/10011114116
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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A Nonparametric Option Pricing Model Using Higher Moments
Cayton, Peter Julian - Volkswirtschaftliche Fakultät, … - 2015
A nonparametric model that includes non-Gaussian characteristics of skewness and kurtosis is proposed based on the cubic market capital asset pricing model. It is an equilibrium pricing model but risk-neutral valuation can be introduced through return data transformation. The model complies with...
Persistent link: https://www.econbiz.de/10011262870
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Canonical Representation Of Option Prices and Greeks with Implications for Market Timing
Cadogan, Godfrey - Volkswirtschaftliche Fakultät, … - 2010
the call option price in his option pricing model with stochastic volatility–without appealing to an equilibrium asset … estimation of risk factor exposure for Greeks by standard [polynomial] regression procedures. Thereby providing a theoretical (a …
Persistent link: https://www.econbiz.de/10008564515
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New insights into India’s single stock futures markets
HUNG, MAO-WEI; SO, LEH-CHYAN - Volkswirtschaftliche Fakultät, … - 2009
indicated that both the Badla mechanism and the introduction of SSFs seem to have contributed to the higher volatility of the …
Persistent link: https://www.econbiz.de/10011259838
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Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis
So, Leh-chyan - Volkswirtschaftliche Fakultät, … - 2013
This paper derives an adjusted Black-Scholes pricing formula. In separating risk and uncertainty using the robust control technique, we find that both uncertainty and risk raise management’s subjective evaluation of real options. We suggest a simple method to filter the risk of the project and...
Persistent link: https://www.econbiz.de/10011260880
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Vulnerability and Coping to Disasters: A Study of Household Behaviour in Flood Prone Region of India
Patnaik, Unmesh; Narayanan, K - Volkswirtschaftliche Fakultät, … - 2010
using binary outcomes and multivariate probit estimation through GHK (Geweke- Hajivassiliou- Keane) estimator. Based on the …
Persistent link: https://www.econbiz.de/10008633347