Bei der Altersvorsorge von Privatanlegern ergibt sich in der derzeitigen Marktsituation die Frage nach der Einführung von Anlageprodukten mit Garantien. Garantien können sich auf das Kapital oder auf eine Mindestrendite beziehen. Produktvarianten können Fonds oder Zertifikate sein. Aus Furcht...

In Foreign Exchange Markets vanilla and barrier options are traded frequently. The market standard is a cutoff time of 10:00 a.m. in New York for the strike of vanillas and a knock-out event based on a continuously observed barrier in the inter bank market. However, many clients, particularly...

In recent years, the use of stock options as an incentive compensation scheme has evolved to be one of the most debated topics in the finance literature as well as in the corporate world. The investigations into the option granting practices at a number of U.S. firms, which were accused of...

We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where...

The influence of past stock price movements on correlations and volatilities is essential for understanding diversification and contagion in financial markets. We develop a model that makes the influence of past returns, aggregated into driving factors for correlations and volatilities,...