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Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

Persistent link: https://www.econbiz.de/10011796505

Efficiency in Large Dynamic Panel Models withCommon Factor

Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2010

This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamicpanel models with common unobservable factor. These models are especially relevantfor applications to large portfolios of credits, corporate bonds, or life insurance contracts, andare recommended in the...

Persistent link: https://www.econbiz.de/10009305085

Implied Volatility at Expiration

Medvedev, Alexey - National Centre of Competence in ResearchFinancial … - 2008

The main result of the paper is a formula for zero time-to-maturity limit ofimplied volatilities of European options under a broad class of stochastic volatilitymodels. Based on this formula, we propose a closed-form approximation of theimplied volatility smile.[...]

Persistent link: https://www.econbiz.de/10005868991

Beta Regimes for the Yield Curve

Audrino, Francesco; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed form...

Persistent link: https://www.econbiz.de/10005858872

Evidence for a hyperbolic-like distribution of asset returns drawn from a simple economical financial markets model

Stefan Reimann - Institut für Schweizerisches Bankwesen <Zürich> - 2005

Risk management and asset pricing benefit from simple functional descriptions of the distribution of real asset returns. Recently, several authors have proposed that asset returns in real stock markets are distributed according to a hyperbolic distribution. While asset returns are generated by...

Persistent link: https://www.econbiz.de/10005858882

Multivariate return decomposition: Theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolay - 2015

In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10011460618

General Equilibrium and Risk Neutral Framework forOption Pricing with Mixture of Distributions

Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006

This paper develops a closed form risk-neutral valuation model for pricing Europeanstyle options when the underlying has a mixture of transformed-normaldistributions. Specifically, we introduce the mixture of g distributions, which containsthe mixture of normal and lognormal distributions as a...

Persistent link: https://www.econbiz.de/10005870098

A general equilibrium and preference free model for pricing options under transformed gamma distribution

Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006

, andprovided a formal proof for the existence of the risk neutral valuation relationshipbetween option price and the gamma … distributed underlying asset. Closed formand preference free European option pricing formulae are derived for a variety of …(transformed) gamma distributions, and Heston’s (1993) model is obtained as aspecial case. The option pricing framework developed here …

Persistent link: https://www.econbiz.de/10005870109

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

When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

In a Lucas orchard with heterogeneous beliefs, we study the link between market-wide uncertainty, difference of opinionsand co-movement of stock returns. We show that this link plays an important role in explaining the dynamics of equilibriumvolatility and correlation risk premia. In our...

Persistent link: https://www.econbiz.de/10009305103