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CDS and credit: the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023

Persistent link: https://www.econbiz.de/10014483049

Pazarbasi, Altan; Schneider, Paul; Vilkov, Grigory - 2019 - This version: November 29, 2019

We investigate the market-compatible degree of agent heterogeneity by identifying and analyzing the full range of conditional beliefs consistent with observed asset prices and good-deal bounds. Our methodology neither makes assumptions on underlying processes nor does it use survey data. It can...

Persistent link: https://www.econbiz.de/10012134438

Deep hedging under rough volatility

Horvath, Blanka Nora; Teichmann, Josef; Zuric, Zan - 2021

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

Persistent link: https://www.econbiz.de/10012800441

Affine pricing and hedging of collateralized debt obligations

Eksia, Zehra; Filipović, Damir - 2020

Persistent link: https://www.econbiz.de/10012419633

Deep hedging: hedging derivatives under generic market frictions using reinforcement learning

Buehler, Hans; Gonon, Lukas; Teichmann, Josef; Wood, Ben; … - 2019

This article discusses a new application of reinforcement learning: to the problem of hedging a portfolio of “over … hedging instruments such as equities or listed options. The approach presented here is the first efficient and model …

Persistent link: https://www.econbiz.de/10012179635

Financial bubbles, real estate bubbles, derivative bubbles, and the financial and economic crisis

Sornette, Didier; Woodard, Ryan - 2009

The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage...

Persistent link: https://www.econbiz.de/10003970395

Unintended consequences of the global derivatives market reform

Gandré, Pauline; Mariathasan, Mike; Merrouche, Ouarda; … - 2020

We investigate regulatory arbitrage during the G20's global derivatives market reform. Using hand-collected data on staggered reform progress, we find that banks shift their trading towards less regulated jurisdictions. The result is driven by agenda items – such as the promotion of central...

Persistent link: https://www.econbiz.de/10012179682

A two-factor cointegrated commodity price model with an application to spread option pricing

Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016

In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...

Persistent link: https://www.econbiz.de/10011507774

Conditional Davis pricing

Larsen, Kasper; Soner, Halil Mete; Zitkovic, Gordan - 2018

We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non …

Persistent link: https://www.econbiz.de/10011899936

Efficiency in large dynamic panel models with common factor

Gagliardini, Patrick; Gouriéroux, Christian - 2009 - This version: March 2009

This paper deals with efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. The specification accounts for both micro- and macro-dynamics, induced by the lagged individual observation and the common stochastic factor, respectively. For large...

Persistent link: https://www.econbiz.de/10003970309

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