The severe political turmoil provoked by an allegedly mispriced private bond issue in Greece added to the controversial matter of whether prices of structured bonds sold to investors are "fair" or not. In this paper structured bond market is analysed with particular focus on valuation issues. It...

Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...

In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...

The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...

We analyse diverse multifactor pricing models in order to determine if they allow to explain the variability of the returns on the personal Pension Plans in Spain between 1995 and 2003, as well as to find their sources of risks. We test the following models: APT, the one suggested by Chen, Roll...

This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...

Standard consumption-based models typically fail in pricing asset returns. In a famous seminal paper, Mehra and Prescott (1985), using a standard consumption model, prove the presence of a puzzle (i.e. equity premium puzzle). The recent financial literature still has to provide a convincing...

Die Industrie in Deutschland hat bis zum dritten Quartal das Produktionsniveau des Vorjahres knapp halten können. Sie stand einer im Jahresverlauf stark rückläufigen Nachfrage aus dem Inland und dem Euroraum und einer leicht steigenden Nachfrage aus dem Nicht-Euroraum gegenüber. Für das...

Während manche Länder in der Europäischen Währungsunion aufgrund von Schulden- und Strukturkrisen tief in der Rezession stecken, steht die deutsche Wirtschaft derzeit glänzend da. Die Arbeitslosigkeit ist auf den niedrigsten Stand seit der Wiedervereinigung gefallen, die Wirtschaftsleistung...

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...