Similar Search Results

Should the joint provision of credit insurance with unsecured lending be prohibited? An examination of the UK payment protection insurance market

Ashton, John; Hudson, Robert S. - Bangor Business School, Bangor University - 2011

This study examines whether the recent UK regulatory decision to introduce a blanket ban on the joint provision of consumer lending and credit insurance was justified. This case has wide regulatory implications following international concerns that the sale of credit insurance has been...

Persistent link: https://www.econbiz.de/10010906161

The price, quality and distribution of mortgage payment protection insurance: A hedonic pricing approach

Ashton, John; Hudson, Robert S. - Bangor Business School, Bangor University - 2011

Mortgage payment protection insurance (hereafter MPPI) provides varying combinations of accident, sickness and unemployment insurance and is used to protect the mortgage payments of policyholders in the event of a fall in income. Recently the provision of this service in the UK has been heavily...

Persistent link: https://www.econbiz.de/10010570027

On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

Persistent link: https://www.econbiz.de/10008727797

Quantitative Properties of Sovereign Default Models; Solution Methods Matter

Martinez, Leonardo; Sapriza, Horacio; Hatchondo, Juan Carlos - International Monetary Fund (IMF) - 2010

We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often solved using the discrete state space technique with evenly spaced grid points. We show that this method necessitates a large number of...

Persistent link: https://www.econbiz.de/10008533233

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2004

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...

Persistent link: https://www.econbiz.de/10005605330

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

Cheng, Kevin C. - International Monetary Fund (IMF) - 2010

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper...

Persistent link: https://www.econbiz.de/10008646431

Financial Frictions, Investment, and Institutions

Yafeh, Yishay; Ueda, Kenichi; Claessens, Stijn - International Monetary Fund (IMF) - 2010

Financial frictions have been identified as key factors affecting economic fluctuations and growth. But, can institutional reforms reduce financial frictions? Based on a canonical investment model, we consider two potential channels: (i) financial transaction costs at the firm level; and (ii)...

Persistent link: https://www.econbiz.de/10008680276

Pricing Weather Derivatives

Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R. - Morrison School of Agribusiness & Resource Management, … - 2004

This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for...

Persistent link: https://www.econbiz.de/10005805319

On Estimation of Volatility of Financial Time Series for Pricing Derivatives

Černý, Michal - In: Acta Oeconomica Pragensia 2008 (2008) 4, pp. 12-21

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

Persistent link: https://www.econbiz.de/10005036300

LIMITS TO GROWTH AND STOCHASTICS

Bouleau, Nicolas - HAL - 2012

The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...

Persistent link: https://www.econbiz.de/10010899270

1
2
3
4
5
6
7
8
9
10
Next
Last