Narrow search
Showing 1 - 10 of 1,608
Cover Image
Using sentiment 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/10009647230
Cover Image
CMS swaps in separable one-factor Gaussian LLM and HJM model
Henrard, Marc - Volkswirtschaftliche Fakultät, … - 2007
An approximation approach to Constant Maturity Swaps (CMS) pricing in the separable one-factor Gaussian LLM and HJM models is presented. The approximation used is a Taylor expansion on the swap rate as a function of a random variable which is intuitively similar to a (short) rate. This approach...
Persistent link: https://www.econbiz.de/10005619559
Cover Image
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options
Henrard, Marc - Volkswirtschaftliche Fakultät, … - 2007
A simple exotic option (floor on rolled deposit) is studied in the shifted log-normal Libor Market (LMM) and Gaussian HJM models. The shifted log-normal LMM exhibits a controllable volatility skew. An explicit approach is used for both models. Using approximations the price in the LMM is...
Persistent link: https://www.econbiz.de/10005622112
Cover Image
Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital ma...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...
Persistent link: https://www.econbiz.de/10011259405
Cover Image
Some critical comments on credit risk modeling.
ilya, gikhman - Volkswirtschaftliche Fakultät, … - 2006
In this notice we are comment popular approaches to the credit risk modeling.
Persistent link: https://www.econbiz.de/10005837121
Cover Image
One numerical procedure for two risk factors modeling
Cocozza, Rosa; De Simone, Antonio - Volkswirtschaftliche Fakultät, … - 2011
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross...
Persistent link: https://www.econbiz.de/10009147574
Cover Image
Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest
Bao, Qunfang; Chen, Si; Liu, Guimei; Li, Shenghong - Volkswirtschaftliche Fakultät, … - 2010
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an … otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which … is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default …
Persistent link: https://www.econbiz.de/10008685037
Cover Image
Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
Bao, Qunfang; Chen, Si; Liu, Guimei; Li, Shenghong - Volkswirtschaftliche Fakultät, … - 2010
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an … otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which … is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default …
Persistent link: https://www.econbiz.de/10008805870
Cover Image
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011
carry very important consequences in derivative’s trading and risk management, such as, for example, basis risk …
Persistent link: https://www.econbiz.de/10011259157
Cover Image
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