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Stochastic modeling of private equity: an equilibrium based approach to fund valuation
Buchner, Axel; Kaserer, Christoph; Wagner, Niklas - 2006
In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...
Persistent link: https://www.econbiz.de/10010305730
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Closed-form solutions for European and Digital calls in the Hull and White stochastic volatility model and their relation to locally R-minimizing and Delta hedges
Ewald, Christian-Oliver; Schenk-Hoppé, Klaus Reiner; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility model of Hull and White. This result answers a longstanding question, posed by Hull and White (Journal of Finance 42, 1987), whether such an analytic form exists. Our findings...
Persistent link: https://www.econbiz.de/10005858327
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Dynamic utility indifference valuation via convex risk measures
Klöppel, Susanne; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We study the dynamic utility indifference value process p(X) when the usefulness of X is evaluated via a dynamic monetary concave utility functional (DMCUF) instead of von Neumann/Morgenstern expected utility. A DMCUF is minus a dynamic convex risk measure. The key tools for our investigations...
Persistent link: https://www.econbiz.de/10005858886
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Hedging and pricing in imperfect markets under non-convexity
Assa, Hirbod; Gospodinov, Nikolay - 2014
This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …
Persistent link: https://www.econbiz.de/10010397681
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Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...
Persistent link: https://www.econbiz.de/10005858246
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The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market
Entrop, Oliver; Scholz, Hendrik; Wilkens, Marco - Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre … - 2008
This paper presents the first analysis of open-end leverage certificates on the Germanmarket. The major innovations of these certificates are twofold. First, issuers announcea price-setting formula according to which they are willing to buy and sell thecertificates over time. Second, the...
Persistent link: https://www.econbiz.de/10005857700
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Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2011
The 1987 stock market crash occurred with minimal impact on observable economic variables (e.g., consumption), yet dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general equilibrium model that captures many salient...
Persistent link: https://www.econbiz.de/10010292137
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...
Persistent link: https://www.econbiz.de/10010292171
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Risk premia in electricity wholesale spot markets: empirical evidence from Germany
Pietz, Matthäus - 2009
This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...
Persistent link: https://www.econbiz.de/10010305694
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Risk premia in the German electricity futures market
Pietz, Matthäus - 2009
hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this …
Persistent link: https://www.econbiz.de/10010305696