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Pricing interest rate derivatives under volatility uncertainty
Holzermann, Julian - 2020
arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …
Persistent link: https://www.econbiz.de/10012175590
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Two Curves, One Price : Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Bianchetti, Marco - 2018
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors. Within such double-curve-single-currency...
Persistent link: https://www.econbiz.de/10012940386
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Assessing contingent convertible bonds for bank recapitalization in Nigeria
Katata, Kabir - In: CBN journal of applied statistics 10 (2019) 1, pp. 119-153
This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank recapitalisation in Nigeria by employing contingent convertibles (CoCos) and using the Nigeria Treasury Bill rate for 2009 as the risk-free rate, estimated recapitalisation requirements...
Persistent link: https://www.econbiz.de/10012178362
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Hedging of a Portfolio of Rainfall Insurances using Rainfall Bonds and European Call Options (Bull Spread)
Shah, Anand - 2017
insurances for two crops in three districts each. We then estimate the parameters of rainfall bond and rainfall call option with …
Persistent link: https://www.econbiz.de/10012969306
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XVA of a Derivative on an Underlying Modelled by a Default Jump Process with an Analysis of CVA Wrong Way Risk for Bond Forwards
Lichtner, Mark - 2015
. The results are applied to bond forward contracts and total return swaps with early termination at underlying default …
Persistent link: https://www.econbiz.de/10013024060
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A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives
Domfeh, Dixon - 2022
Catastrophe (CAT) bond markets are incomplete and hence carry uncertainty in instrument pricing. As such various … CAT bond pricing framework based on uncertainty quantification of catastrophes and interest rates. Our framework allows … expected risk premia of various CAT bond contracts corresponding to clustering of catastrophe risk profiles. Numerical …
Persistent link: https://www.econbiz.de/10013296936
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Chapter 20 Fixed-income pricing
Dai, Qiang; Singleton, Kenneth J. - 2003
interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have …
Persistent link: https://www.econbiz.de/10014023851
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Insurance options : beating the benchmark : are catastrophe bonds more profitable than corporate bonds?
Caro Barrera, José Rafael - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 3-17
In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...
Persistent link: https://www.econbiz.de/10012259883
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Valuation of a Cashflow CDO Without Monte Carlo Simulation
Gallagher, Donal A. - 2009
Unlike tranches of synthetic CDOs, that depend only on the defaults of the underlying securities, tranches of cashflow CDOs also depend on the interest cash flows from the coupons of the securities. Whilst fast, accurate, (semi-)analytic methods exist for pricing synthetic CDO tranches (Hull and...
Persistent link: https://www.econbiz.de/10013156360
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The Valuation of Multivariate Equity Options by Means of Copulas : Theory and Application to the European Derivatives Market
Slavchev, Ivan; Wilkens, Sascha - 2011
This paper studies the valuation of multivariate equity options by determining the joint risk-neutral distribution of the underlying stock prices by means of copulas. In contrast to previous work which concentrates on two underlyings this study considers the general multivariate case. In...
Persistent link: https://www.econbiz.de/10014047700