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Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program
Mishra, SK - 2007
Correlation matrices have many applications, particularly in marketing and financial economics. The need to forecast demand for a group of products in order to realize savings by properly managing inventories requires the use of correlation matrices. In many cases, due to paucity of...
Persistent link: https://www.econbiz.de/10015219996
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Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program
Mishra, SK - 2007
Correlation matrices have many applications, particularly in marketing and financial economics. The need to forecast demand for a group of products in order to realize savings by properly managing inventories requires the use of correlation matrices. In many cases, due to paucity of...
Persistent link: https://www.econbiz.de/10015227098
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Banking Stability in the ESG Framework Across Italian Regions
Arnone, Massimo; Leogrande, Angelo; Costantiello, Alberto; … - 2024
This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...
Persistent link: https://www.econbiz.de/10015213734
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A Spot Stochastic Recovery Extension of the Gaussian Copula
Bennani, Norddine; Maetz, Jerome - 2009
The market evolution since the end of 2007 has been characterized by an increase of systemic risk and a high number of defaults. Realized recovery rates have been very dispersed and different from standard assumptions, while 60%-100% super-senior tranches on standard indices have started to...
Persistent link: https://www.econbiz.de/10015219858
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The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?
Reiffen, David; Buyuksahin, Bahattin - 2010
futures market, the associated (but unrestricted) options market becomes the price discovery market: much of the trading that … would have occurred on the futures market migrates to the options market, and options prices accurately predict the … (unconstrained) futures price the next day. We also show that the presence of options mitigates the effect of price limits on …
Persistent link: https://www.econbiz.de/10015230091
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The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data
Bicchetti, David; Maystre, Nicolas - 2012
This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...
Persistent link: https://www.econbiz.de/10015231124
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Hedging dynamics with gold futures
Singh, Saurabh; Saharawat, Swati - 2011
People by and large tend to postpone their present consumption for numerous reasons. This postponement of consumption leaves them with surplus money to invest for future consumption. Amongst the number of alternatives avenues present for such investments, gold too tends to be one of them. People...
Persistent link: https://www.econbiz.de/10015233946
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Collateral choice and the fundamental theorem of asset pricing
Luis Manuel, García Muñoz - 2012
In the classical quantitative finance literature it is assumed that there is a risk free rate at which hedgers can borrow and lend in the dynamic replication process of financial derivatives. In such a framework, under complete market conditions and absence of arbitrage opportunities, for a...
Persistent link: https://www.econbiz.de/10015234510
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CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions.
García Muñoz, Luis Manuel - 2013
In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We assume that one counterparty will act as the derivatives hedger while the other will act as the investor. Therefore, the derivative's price will reflect the replication costs...
Persistent link: https://www.econbiz.de/10015235647
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CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions.
García Muñoz, Luis Manuel - 2013
In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We assume that one counterparty will act as the derivatives hedger while the other will act as the investor. Therefore, the derivative's price will reflect the replication costs...
Persistent link: https://www.econbiz.de/10015235822