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A Term Structure Model and the Pricing of Interest Rate Derivative

Sandmann, K.; Sondermann, D. - University of Bonn, Germany - 1993

The paper developes a general arbitrage free model for the term structure of interest rates. The principal model is formulated in a discrete time structure. It differs substantially from the Ho--Lee-- Model (1986) and does not generate negative spot and forward rates. The results for the...

Persistent link: https://www.econbiz.de/10005032172

Term Structure Models of Commodity Prices: A Review

Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2005

prices, are presented. The fourth section examines the two main applications of term structure models: hedging and valuation …

Persistent link: https://www.econbiz.de/10011166285

Numeraire Invariance and application to Option Pricing and Hedging

Jamshidian, Farshid - Volkswirtschaftliche Fakultät, … - 2008

This is a short version of the paper of Exchange Options (2007), concentrating on the principle of numeraire invariance. It emphasizes application to unique pricing in arbitrage-free model, the derivation of hedge ratios and the PDE when price ratios are diffusions, explicit representations in...

Persistent link: https://www.econbiz.de/10005787005

The Efficiency of the Japanese Equity Market

Nagayasu, Jun - International Monetary Fund (IMF) - 2003

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....

Persistent link: https://www.econbiz.de/10005825859

Exchange Options

Jamshidian, Farshid - Volkswirtschaftliche Fakultät, … - 2007

chronologically. The principles and techniques of hedging and unique pricing are illustrated for the two simplest nontrivial examples … option price function is highlighted. Equivalent martingale measures are utilized to show unique pricing with bounded deltas … (and in the nondegenerate case unique hedging) and to exhibit the PDE or closed-form solutions as numeraire …

Persistent link: https://www.econbiz.de/10005619898

Extracting implicit density functions from short term interest rate options

Nielsen, Hannah - Sonderforschungsbereich 373, Quantifikation und … - 2001

Using option prices the expectations of the market participants concerning the underlying asset can be extracted as well as the uncertainty surrounding these expectations. In this paper a mixture of lognormal density functions will be assumed to analyze options on three-month Euribor futures for...

Persistent link: https://www.econbiz.de/10010956475