Narrow search
Showing 1 - 10 of 381
Cover Image
Methodological problems in solvency assessment of an insurance company
Cocozza, R; Di Lorenzo, E; Sibillo, M - 2004
The recent wide development and changes in insurance markets highlighted the necessity to map out the solvency analysis in a more complete framework. The approach we present in the paper comes up with an integrated analysis of the risk profile of an insurance business, taking into account the...
Persistent link: https://www.econbiz.de/10015225148
Cover Image
Hedging vs. speculative pressures on commodity futures returns
Cifarelli, Giulio; Paladino, Giovanna - 2011
This study introduces a non linear model for commodity futures prices which accounts for pressures due to hedging and speculative activities. The linkage with the corresponding spot market is considered assuming that a long term equilibrium relationship holds between futures and spot pricing....
Persistent link: https://www.econbiz.de/10015225288
Cover Image
Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
Bao, Qunfang; Chen, Si; Liu, Guimei; Li, Shenghong - 2010
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an … otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which … is exercised upon default of counterparty, on MtM of the derivative. Therefore, modeling volatility of MtM and default …
Persistent link: https://www.econbiz.de/10015225295
Cover Image
Levy Subordinator Model: A Two Parameter Model of Default Dependency
Balakrishna, B S - 2010
The May 2005 crisis and the recent credit crisis have indicated to us that any realistic model of default dependency needs to account for at least two risk factors, firm-specific and catastrophic. Unfortunately, the popular Gaussian copula model has no identifiable support to either of these. In...
Persistent link: https://www.econbiz.de/10015226234
Cover Image
Accelerating the calibration of stochastic volatility models
Kilin, Fiodar - 2006
This paper compares the performance of three methods for pricing vanilla options in models with known characteristic function: (1) Direct integration, (2) Fast Fourier Transform (FFT), (3) Fractional FFT. The most important application of this comparison is the choice of the fastest method for...
Persistent link: https://www.econbiz.de/10015226238
Cover Image
Bubbles and Leverage
Campbell, Gareth - 2010
This paper analyses the relationship between leverage and asset price bubbles. During an important historical bubble there was a substantial expansion in the number of railways promoted, most of which were financed by shares which could be purchased on an instalment basis. An analysis of a new...
Persistent link: https://www.econbiz.de/10015226305
Cover Image
Power Spot Price Models with negative Prices
Schneider, Stefan - 2010
Negative prices for electricity are a novelty in European power markets. At the German EEX spot market negative hourly prices have since occurred frequently, down to values as extreme as minus several hundred €/MWh. However, in some non-European markets as USA, Australia and Canada, negative...
Persistent link: https://www.econbiz.de/10015226373
Cover Image
One numerical procedure for two risk factors modeling
Cocozza, Rosa; De Simone, Antonio - 2011
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross...
Persistent link: https://www.econbiz.de/10015226864
Cover Image
The irony in the derivatives discounting
Henrard, Marc - 2007
impact on derivative pricing of changing the discounting curve is discussed. The pricing formulas for vanilla products are …
Persistent link: https://www.econbiz.de/10015227020
Cover Image
Thinking by analogy, systematic risk, and option prices
Siddiqi, Hammad - 2011
People tend to think by analogies and comparisons. Such way of thinking, termed coarse thinking by Mullainathan et al [Quarterly Journal of Economics, May 2008] is intuitively very appealing. We develop a new option pricing model based on the idea that the market consists of coarse thinkers as...
Persistent link: https://www.econbiz.de/10015227122