Showing 1 - 10 of 75
All economic and financial activity involves the communication of information across space and time. Additionally, communicated and processed information is the only universal fundamental input to all economic and financial production and exchange. Well established laws from physics and...
Persistent link: https://www.econbiz.de/10012970723
Many econophysics applications have modeled financial systems as if they were pure physical systems devoid of human limitations and errors. On the other hand, traditional financial theory has ignored limits that physics would impose on human interactions, communications, and computational...
Persistent link: https://www.econbiz.de/10012932832
According to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate submissions of LIBOR, sometimes motivated by profit-seeking from...
Persistent link: https://www.econbiz.de/10012993556
Persistent link: https://www.econbiz.de/10014310249
In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...
Persistent link: https://www.econbiz.de/10010294741
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011538004
In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...
Persistent link: https://www.econbiz.de/10009313603
Under the setting that stochastic discount factors (SDFs) jointly price a vector of returns, this paper features entropy-based restrictions on SDFs, and its correlated multiplicative components, to evaluate asset pricing models. Specifically, our entropy bound on the square of the SDFs is...
Persistent link: https://www.econbiz.de/10010353301
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011457568
In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...
Persistent link: https://www.econbiz.de/10010471968