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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - 2002
swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo …
Persistent link: https://www.econbiz.de/10010325053
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Credit Risk Transfer, Real Sector Productivity, and Financial Deepening
Behr, Patrick; Lee, Samuel - 2005
We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in...
Persistent link: https://www.econbiz.de/10010263314
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Volatility investing with variance swaps
Härdle, Wolfgang Karl; Silyakova, Elena - 2010
investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative …
Persistent link: https://www.econbiz.de/10010319195
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A note on the pricing of real estate index linked swaps
Björk, Tomas; Clapham, Eric - 2002
correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of …
Persistent link: https://www.econbiz.de/10010281429
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Valuation of convexity related derivatives
Witzany, Jiří - 2008
tradable underlying assets. Derivatives involving Libor or swap rates in arrears, i.e. rates paid in a wrong time, are a … rigorously that indeed this is not possible in the case of Libor or swap rates in arrears. We will introduce formally the notion … applicable in particular on swap rates in arrears. Finally, we will get a precise fully analytical formula based on the usual …
Persistent link: https://www.econbiz.de/10010322240
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Hedging Price Risk When Real Wealth Matters
Adam-Müller, Axel F. A. - 1999
This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts in the presence of untradable inflation risk. Utility is defined over real wealth. Optimal forward positions are derived relative to a given initial exposure in the tradable...
Persistent link: https://www.econbiz.de/10010324032
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Complete and Incomplete Markets with Short-Sale Constraints
Giménez, Eduardo L. - 2001
This paper argues that the introduction of a short-sale constraint in the Arrow-Radner frameworkinvalidates standard definitions of complete and incomplete markets. In this constrained set-up,two threshold values with familiar properties arise.The case of a zero short-sale bound set on some...
Persistent link: https://www.econbiz.de/10010324858
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Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
Bos, Charles S. - 2008
When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing...
Persistent link: https://www.econbiz.de/10010326060
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Using Forward Contracts to Reduce Regulatory Capture
Höffler, Felix; Kranz, Sebastian - 2010
A fully unbundled, regulated network firm of unknown efficiency level can untertake unobservable effort to increase the likelihood of low downstream prices, e.g. by facilitating downstream competition. To incentivize such effort, the regulator can use an incentive scheme paying transfers to the...
Persistent link: https://www.econbiz.de/10010333906
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Global warming and financial umbrellas
Dosi, Cesare; Moretto, Michele - 2001
and magnitude of weather extremes, derivative contracts may potentially become a useful tool for hedging some weather …
Persistent link: https://www.econbiz.de/10011608849