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On quantitative approximation of stochastic integrals with respect to the geometric Brownian motion

Geiss, Stefan - 1999

This paper approximates stochastic integrals with respect to the geometric Brownian motion by stochastic integrals over discretized integrands, where deterministic, but not necessarily equidistant, time nets are used.

Persistent link: https://www.econbiz.de/10005841720

Finanzmathematische Überlegungen zur Prüfung der marktbezogenen Gewährleistung des Rechnungszinses in der PKV

Albrecht, Peter - 2004

Die vorliegende Ausarbeitung hat als Zielsetzung die Erarbeitung eines methodischen Instrumentariums, das als Grundlage für die Prüfung der marktbezogene Gewährleistung des (Höchst-)Rechnungszinses in der privaten Krankenversicherung verwendet werden kann. Dabei wird im Rahmen der weiteren...

Persistent link: https://www.econbiz.de/10005845636

The saga of the American Put

Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

The American put is one of the oldest problems in mathematical finance. We review the development of the relevant literature over the last 40 years. Today the mainstream computational problems have been solved satisfactorily and the target of research is shifting towards the development of...

Persistent link: https://www.econbiz.de/10005858384

Robust GMM Tests for Structural Breaks

Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...

Persistent link: https://www.econbiz.de/10005858906

Saddlepoint Approximations and Test Statistics for Accurate Inference in Overidentified Moment Conditions Models

Ronchetti, Elvezio; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We propose a new class of test statistics inducing accurate dual likelihood ratio tests of parametric constraints in overidentified moment conditions models. These statistics are derived from the dual likelihood implied by the exponent in the saddlepoint approximation of a general GMM estimator...

Persistent link: https://www.econbiz.de/10005859123

On the Information Content of the Fama and French Factors in the UK

Mouselli, Sulaiman; Michou, Maria; Stark, Andrew - Manchester Business School - 2008

This study explores the information content of HML and SMB by linking the Fama-French factors toshocks in the state variables which predict future investment opportunities. It shows that the HMLfactor contains information about shocks to default spread. Moreover, the Fama-French modelexplains...

Persistent link: https://www.econbiz.de/10005870637

Realität setzt den Massstab

Loepfe, Andreas - Center for Urban & Real Estate Management <Zürich> - 2008

Die richtige Gewichtung von Investitionen gestaltet sich schwierig: Die Optimierung mittels Finanzmathematik ist zu …

Persistent link: https://www.econbiz.de/10005871177

Hedging in an Illiquid Binomial Market

Gökay, Selim; Soner, Halil Mete - National Centre of Competence in Research - Financial … - 2011

We analyze numerically the superreplication problem and the associatedhedging strategy in an illiquid binomial market. We prove theexistence of an optimal feedback strategy for European and barrier optionsand compute it numerically by means of a dynamic programmingprinciple. We exhibit that the...

Persistent link: https://www.econbiz.de/10009486850

Fixed Effects Bias in Panel Data Estimators

Buddelmeyer, Hielke; Jensen, Paul H.; Oguzoglu, Umut; … - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2008

Since little is known about the degree of bias in estimated fixed effects in panel data models, we run Monte Carlo simulations on a range of different estimators. We find that Anderson-Hsiao IV, Kiviets bias-corrected LSDV and GMM estimators all perform well in both short and long panels...

Persistent link: https://www.econbiz.de/10005859693

Das Äquivalenzprinzip der Finanzmathematik

Walther, Ursula - Technische Universität <Freiberg> - 2002

Das Äquivalenzprinzip der Finanzmathematik vergleicht und bewertet Zahlungsströme. Dazuist eine Bewertung von Zeit und … Darstellungsweise gibteinen einheitlichen formalen Rahmen. In der Finanzmathematik wird Zeit durch Verzinsungbewertet. Bei der Bewertung … two approaches.The classical Bernoulli´s rule rests on individual preferences while modern capitalmarket theory offers a …

Persistent link: https://www.econbiz.de/10005864471