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Anwendung von Real Options in der Immobilienpraxis
Maurer, Thomas - Center for Urban & Real Estate Management <Zürich> - 2006
Risikomanagement zusehends an Bedeutung. Bei der Risikoallokation spielen Derivate eine wichtige Rolle... …
Persistent link: https://www.econbiz.de/10005871161
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Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins … distribution, we can improve significantly the variance reduction and outperform other recently proposed importance sampling … approaches that are based on deterministic methods providing asymptotically optimal importance sampling distributions …
Persistent link: https://www.econbiz.de/10005858875
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Mortality-Indexed AnnuitiesManaging Longevity Risk via Product Design
Richter, Andreas; Weber, Frederik - Universität <München> / Institut für … - 2009
Longevity risk has become a major challenge for governments, individuals, andannuity providers in most countries, and especially its aggregate form, i.e. therisk of unsystematic changes to general mortality patterns, bears a large potentialfor accumulative losses for insurers. As obvious risk...
Persistent link: https://www.econbiz.de/10009248856
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Common Functional Implied Volatility Analysis
Benko, Michal; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing formula. It is well known from empirical studies that...
Persistent link: https://www.econbiz.de/10005862325
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Implied Trinomial Trees
Čížek, Pavel; Komorád, Karel - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
Options are financial derivatives that, conditional on the price of an underlyingasset, constitute a right to transfer the ownership of this underlying. Morespecifically, a European call and put options give their owner the right to buyand sell, respectively, at a fixed strike price at a given...
Persistent link: https://www.econbiz.de/10005862330
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Closed Form Integration of Artificial Neural Networks With Some Applications to Finance
Gottschling, Andreas; Haefke, Christian; White, Halbert - 1999
Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...
Persistent link: https://www.econbiz.de/10005843731
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Calibration Risk for Exotic Options
Detlefsen, Kai; Härdle, W. K. - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...
Persistent link: https://www.econbiz.de/10005854720
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Wertsicherungsstrategien für das Asset Management
Kluß, Norbert; Bayer, Markus; Cremers, Heinz - Frankfurt School of Finance & Management - 2005
The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio byprogressively selling stocks and buy safe, short-term debt securities as stock prices fall. Thispaper analyzes the current static and dynamic methods in use and explains their pros andcons.
Persistent link: https://www.econbiz.de/10005865781
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Customer Portfolio Management in E-Commerce - AnAnalytical Model for Optimization
Sackmann, Stefan; Kundisch, Dennis; Ruch, Markus - Universität <Augsburg> / Research Center Finance & …
In this contribution, we present a model that retailers engaged in e-commerce (e-tailers)can use for determining the optimal mix of customer segments within a customer portfolio froman integrated risk and return perspective....
Persistent link: https://www.econbiz.de/10005868067
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Estimation Risk and Portfolio Selection
Kempf, Alexander; Kreuzberg, Klaus; Memmel, Christoph - 2001
This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key contribution of our analysis is that we model the estimation risk as a second, independent source of risk.
Persistent link: https://www.econbiz.de/10005840708