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Option Pricing in an Investment Risk-Return Setting

Kim, Young Shin - 2019

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...

Persistent link: https://www.econbiz.de/10012865720

Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads

Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011478467

The ICA-based factor decomposition of the Eurozone sovereign CDS spreads

Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015

Persistent link: https://www.econbiz.de/10011375946

CDS implied credit ratings

Jansen, Jeroen; Fabozzi, Frank J. - In: The journal of fixed income 26 (2017) 4, pp. 25-52

Persistent link: https://www.econbiz.de/10011684760

Local volatility and the recovery rate of credit default swaps

Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29

Persistent link: https://www.econbiz.de/10011974230

Predictability dynamics of emerging sovereign CDS markets

Sensoy, Ahmet; Fabozzi, Frank J.; Eraslan, Veysel - In: Economics letters 161 (2017), pp. 5-9

Persistent link: https://www.econbiz.de/10011903820

Pricing of credit default index swap tranches with one-factor heavy-tailed copula models

Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215

Persistent link: https://www.econbiz.de/10003839259

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

Persistent link: https://www.econbiz.de/10003886215

Corporate credit default swap liquidity and its implications for corporate bond spreads

Chen, Ren-Raw; Fabozzi, Frank J.; Sverdlove, Ronald - In: The journal of fixed income 20 (2010/11) 2, pp. 31-57

Persistent link: https://www.econbiz.de/10008667946

A primer on constant proportion debt obligations

Lucas, Douglas J.; Goodman, Laurie Sharon; Fabozzi, Frank J. - In: The journal of structured finance 13 (2007/08) 3, pp. 72-80

Persistent link: https://www.econbiz.de/10003862374