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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B. - 2006
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …
Persistent link: https://www.econbiz.de/10012466328
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Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model
Bertsimas, Dimitris - 1997
Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …-dependent options and options on assets with stochastic volatility and jumps. " …
Persistent link: https://www.econbiz.de/10012472561
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An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies
Grossman, Sanford J. - 1987
Recent advances in financial theory have created an understanding of the environments in which a real security can be … replacement of a real security by synthetic strategies may in itself cause enough uncertainty about the price volatility of the … volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people …
Persistent link: https://www.econbiz.de/10012476711
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Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns
Ahn, Dong-Hyun - 1999
This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we...
Persistent link: https://www.econbiz.de/10012471575
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An Analysis of the Stabilizing and Welfare Effects of Intervention in Spot and Futures Markets
Campbell, Robert B. - 1985
This paper analyzes the effects of three alternative rules on the long-run distributions of both the spot and futures prices ina single commodity market, in which the key behavioral relationships are derived from the optimizing behavior of producers and speculators.The rules considered include:...
Persistent link: https://www.econbiz.de/10012477382
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A Note on the Derivation of Linear Homogeneous Asset Demand Functions
Friedman, Benjamin M. - 1979
Among the numerous familiar sets of specific assumptions sufficient to derive mean-variance portfolio behavior from more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint normally distributed asset return assessments are also...
Persistent link: https://www.econbiz.de/10012478803
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Credit Default Swaps and the Credit Crisis
Stulz, René M. - 2009
Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market as bilateral contracts involving counterparty risk and that they...
Persistent link: https://www.econbiz.de/10012463266
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New Estimates of the Future Path of 401(k) Assets
Poterba, James - 2007
Over the past two and a half decades there has been a fundamental change in saving for retirement in the United States, with a rapid shift from employer-managed defined benefit pensions to defined contribution saving plans that are largely controlled by employees. To understand how this change...
Persistent link: https://www.econbiz.de/10012465571
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Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns
Brunnermeier, Markus K. - 2007
Human beings want to believe that good outcomes in the future are more likely, but also want to make good decisions that increase average outcomes in the future. We consider a general equilibrium model with complete markets and show that when investors hold beliefs that optimally balance these...
Persistent link: https://www.econbiz.de/10012465716
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Notes for a Contingent Claims Theory of Limit Order Markets
Lehmann, Bruce N. - 2005
This paper provides a road map for building a contingent claims theory of limit order markets grounded in a simple … flow. However, limit orders are not conventional derivative securities: order flow is an endogenous, non-price state …
Persistent link: https://www.econbiz.de/10012467147