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Three Solutions to the Pricing Kernel Puzzle
Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010
The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …
Persistent link: https://www.econbiz.de/10009305117
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Liquidity Models in Continuous and Discrete Time
Roch, Alexandre F.; Gökay, Selim; Soner, H. Mete - Swiss National Centre of Competence in Research North … - 2010
The study of liquidity in financial markets either invokes the ease with whichfinancial securities can be bought and sold, or addresses the ability to tradewithout triggering important changes in asset prices. More specifically, onecan think of liquidity as an exogenous measure of the added...
Persistent link: https://www.econbiz.de/10009305121
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Aircraft Noise Derivatives
Dalbert, Curdin; Vanini, Paolo - Swiss National Centre of Competence in Research North … - 2009
Changing noise levels have a severe impact on house prices and through the leveragein nancing on households wealth. This risk is essential for houses close to airportswith uncertain aircraft regimes. We design and calibrate real options based on aircraftnoise to hedge against noise risk. The...
Persistent link: https://www.econbiz.de/10005868724
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Approximate Derivative Pricing for Large Class ofHomogeneous Assets
Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2008
prediction and pricing formulas for the future factorvalues and their proxies, when the size n of the class is large. Up to order …
Persistent link: https://www.econbiz.de/10005868923
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“Ownership Concentration, ‘Private Benefits of Control’and Debt Financing
Filatotchev, Igor; Mickiewicz, Tomasz - Centre for the Study of Economic and Social Change in … - 2001
Building on the ‘law and economics’ literature, this paper analyses corporategovernance implications of debt financing in an environment where a dominant owner isable to extract ex ante ‘private benefits of control’. Ownership concentration may result inlower efficiency, measured as a...
Persistent link: https://www.econbiz.de/10005868255
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Actuarial Transform Pricing
Ruban, Oleg; Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006
This article studies four transform pricing methods in the context of generalequilibrium (GE) framework. The four … among actuarial literature and practice. The transform pricing methodsoffer a convenient solution to contingent claim … pricing problem when the underlyingrisk exposure cannot be fully hedged. We show analytically that these fourmethods are …
Persistent link: https://www.econbiz.de/10005870122
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Market Liquidity Risk - An Overview
Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...
Persistent link: https://www.econbiz.de/10005870300
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Firm Migration and Stock Returns
Puopolo, Giovanni W. - Finrisk - 2009
This paper studies the asset pricing implications of a general equi-librium model in which real investment is …
Persistent link: https://www.econbiz.de/10009022140
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Asset Pricing with Matrix Jump Diffusions
Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …
Persistent link: https://www.econbiz.de/10009248844
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Dynamic utility-based good deal bounds
Kloppel, Susanne; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008
, viaduality, restrictions on pricing kernels and thereby gives tighter valuation boundson payoffs than absence of arbitrage alone … and global (conditional) pricing kernel restrictions for the temporally dynamicsetting. For the dynamic case, we show in a …
Persistent link: https://www.econbiz.de/10005857734