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Empirical pricing kernels and investor preferences
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for … ; pricing kernel ; behvioral finance , risl aversion ; risk proclivity ; Heston model …
Persistent link: https://www.econbiz.de/10003633572
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Numerics of implied binomial trees
Härdle, Wolfgang (contributor);  … - 2008
, particularly. -- Implied tree models ; implied olatility ; local volatility ; option pricing …Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions … process. In addition, we apply the IBT to EUREX option prices and compare the estimated SPDs. Both IBT methods coincide well …
Persistent link: https://www.econbiz.de/10003727608
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The term structure of illiquidity premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - 2009
This paper investigates the dynamics of the term structure of bond market illiquidity premia using data on German bond market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the term structure and identify economic factors that...
Persistent link: https://www.econbiz.de/10003919393
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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10003919401
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Realizing smiles: pricing options with realized volatility
Corsi, Fulvio; Fusari, Nicola; Vecchia, Davide la - 2010
We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …
Persistent link: https://www.econbiz.de/10003973052
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Ambiguity aversion and the term structure of interest rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - 2008
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10003961717
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Explaining time-varying risk of electricity forwards : trading activity and news announcements
Schulz, Frowin C. - 2010 - 2nd version: March 25, 2011
We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...
Persistent link: https://www.econbiz.de/10008989697
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What drives the performance of convertible-bond funds?
Ammann, Manuel; Kind, Axel; Seiz, Ralf - 2007
option-like character of convertible bonds. Surprisingly, multivariate cross-sectional analyses show the existence of a …
Persistent link: https://www.econbiz.de/10009306667
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The joint estimation of term structures and credit spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10011301164
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What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...
Persistent link: https://www.econbiz.de/10009764762