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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
Yu, Jung-Suk - 2006
There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...
Persistent link: https://www.econbiz.de/10009468629
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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
Yu, Jung-Suk - 2006
There has been an on-going debate about choices of the most suitable model amongst a variety of model specifications and parameterizations. The first dissertation essay investigates whether asymmetric leptokurtic return distributions such as Hansen's (1994) skewed tdistribution combined with...
Persistent link: https://www.econbiz.de/10009451062
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On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps
Herzberg, Frederik - 2008
For a continuous-time financial market with a single agent, we establish equilibrium pricing formulae under the assumption that the dividends follow an exponential Lévy process. The agent is allowed to consume a lump at the terminal date; before, only flow consumption is allowed. The agent's...
Persistent link: https://www.econbiz.de/10009452545
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The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory
Brown, David P.; Jackwerth, Jens Carsten - 2004
The pricing kernel puzzle of Jackwerth (2000) concerns the fact that the empirical pricing kernel implied in S&P 500 index options and index returns is not monotonically decreasing in wealth as standard economic theory would suggest. Thus, those options are currently priced in a way such that...
Persistent link: https://www.econbiz.de/10009471611
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Bewertung und Risikoanalyse variabel verzinslicher Kundengeschäfte: ein kapitalmarktkonsistenter Bewertungsansatz und dessen Analyse
Krombach, Arne - 2011
Variabel verzinsliche Kundengeschäfte repräsentieren einen bedeutenden Teil der Aktiva und Passiva von Banken. Ihre Bewertung und Risikoanalyse ist sowohl für Banken als auch für die Bankenaufsicht anspruchsvoll, da insbesondere das Zusammenspiel zwischen Markt- und Produktzinsen sich als...
Persistent link: https://www.econbiz.de/10009447142
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Bewertung von DAX-Optionsscheinen. Eine theoretische und empirische Analyse der Bewertung von Plain-Vanilla-Optionsscheinen auf den Deutschen Aktienindex (DAX)
Hagl, Stefan - 2003
Mit vorliegender Arbeit wird versucht, die Validit?t des Black/Scholes- und des Barone-Adesi/Whaley-Optionsbewertungsmodells, bezogen auf ein breites Spektrum der in Deutschland b?rsennotierten Optionsscheine auf den wichtigsten nationalen Aktienindex, den Deutschen Aktienindex DAX, theoretisch...
Persistent link: https://www.econbiz.de/10009484795
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Conditional Betas, Higher Comoments and the Cross-Section of Expected Stock Returns
Xu, Lei - 2010
size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined …-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the … coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis …
Persistent link: https://www.econbiz.de/10009440933
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Prices as Factors: Approximate Aggregation with Incomplete Markets
Telmer, Chris I; Zin, Stanley E. - 2000
kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …
Persistent link: https://www.econbiz.de/10009441191
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Essays in cross-sectional asset pricing
Cederburg, Scott Hogeland - 2011
returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …
Persistent link: https://www.econbiz.de/10009466087
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Anwendungsorientierte Grundlagenforschung und produktorientierte Anwendungsforschung als Spekulationsgeschäft - ein Anwendungsfall für die Optionspreistheorie
Schultheiß, Rainer - 2000
Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …
Persistent link: https://www.econbiz.de/10009467496