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A note on the pricing of real estate index linked swaps

Björk, Tomas; Clapham, Eric - 2002

In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing …

Persistent link: https://www.econbiz.de/10010281429

A Note on the Pricing of Real Estate Index Linked Swaps

Björk, Tomas; Clapham, Eric - Economics Institute for Research (SIR), … - 2002

In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing …

Persistent link: https://www.econbiz.de/10005649388

On finite dimensional realizations for the term structure of futures prices

Björk, Tomas; Blix, Magnus; Landén, Camilla - 2005

We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures privce curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a...

Persistent link: https://www.econbiz.de/10010281154

Long-term supply contracts and collusion in the electricity market

Le Coq, Chloé - 2004

It has been argued that having a contract market before the spot market enhances competition (Allaz and Vila, 1993). Taking into account the repeated nature of electricity markets, we check the robustness of the argument that the access to contract markets reduces the market power of generators....

Persistent link: https://www.econbiz.de/10010281160

Quadratic models for portfolio credit risk with shot-noise effects

Gaspar, Raquel M.; Schmidt, Thorsten - 2005

We propose a reduced form model for default that allows us to derive closed-form solutions to all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and probabilities of survival. We show that all these quantities...

Persistent link: https://www.econbiz.de/10010281181

On the use of numeraires in option pricing

Benninga, Simon; Björk, Tomas; Wiener, Zvi - 2001

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a … choice of linkage. 2. Pricing convertible bonds. 3. Pricing employee stock ownership plans 4. Pricing options where the …

Persistent link: https://www.econbiz.de/10010281218

Correlation between intensity and recovery in credit risk models

Gaspar, Raquel M.; Slinko, Irina - 2005

We start by presenting a reduced-form multiple default type of model and derive abstract results on the influence of a state variable X on credit spreads, when both the intensity and the loss quota distribution are driven by X. The aim is to apply the results to a concrete real life situation,...

Persistent link: https://www.econbiz.de/10010281231

Towards a general theory of good deal bounds

Björk, Tomas; Slinko, Irina - 2005

framework we study arbitrage free good deal pricing bounds for derivative assets along the lines of Cochrane and Saa …

Persistent link: https://www.econbiz.de/10010281264

Finite dimensional realizations of forward price term structure models

Gaspar, Raquel M. - 2004

In this paper we study a fairly general Wiener driven model for the term structure of forward prices. The model, under a fixed martingale measure, Q, consists of two infinite dimensional stochastic differential equations (SDEs). The first system is a standard HJM model for (forward) interest...

Persistent link: https://www.econbiz.de/10010281301

On the term structure of futures and forward prices

Björk, Tomas; Landén, Camilla - 2000

models. We also derive two general pricing formulas for futures options. Finally we present an easily applicable sufficient …

Persistent link: https://www.econbiz.de/10010281306