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Cash sub-additive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia - 2008
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of...
Persistent link: https://www.econbiz.de/10003961489
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
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Portfolio selection with options and transaction costs
Malamud, Semyon - 2014
highly attractive skewness-kurtosis profi le. In the presence of transactions costs that depend on an option's moneyness and … sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …
Persistent link: https://www.econbiz.de/10010337963
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Corporate investment and financing under asymmetric information
Morellec, Erwan; Schürhoff, Norman - 2010 - This version March 2010
We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. We show that firms with positive private information can credibly signal their type to outside investors using the timing of...
Persistent link: https://www.econbiz.de/10003970296
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010
the options market and the class of valuation problem being undertaken. Various examples are studied in detail, with exact …
Persistent link: https://www.econbiz.de/10008797695
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Semi-parametric estimation of American option prices
Gagliardini, Patrick; Ronchetti, Diego - 2010
We introduce a novel semi-parametric estimator of the price of American options in a discrete time, Markovian framework …-free bond, the underlying asset and a cross-section of observed prices of American options written on it. We use the dynamic …-arbitrage restrictions. We use the estimator to compute the price of American options not traded in the market by recursive valuation. Other …
Persistent link: https://www.econbiz.de/10008798293
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Martingale representation theorem for the G-expectation
Soner, Halil Mete; Touzi, Nizar; Jianfeng Zhang - 2010
This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in [20] for the second order stochastic target problems and the second order backward...
Persistent link: https://www.econbiz.de/10008798300
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Liquidity models in continuous and discrete time
Gökay, Selim; Roch, Alexandre F.; Soner, Halil Mete - 2010
, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …
Persistent link: https://www.econbiz.de/10008798305
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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe (contributor);  … - 2007
In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...
Persistent link: https://www.econbiz.de/10003549840
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Ambiguity aversion and the term structure of interest rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - 2008
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10003961717