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An Equilibrium Pricing for OTC Derivatives with Collateralization. Application of Economic Premium Principle

Takino, Kazuhiro - 2016

principle initiated by Buhlmann (1980). The derivative markets in our model are over-the-counter (OTC) markets and have … the collateral agreements. We also demonstrate whether our pricing approach is consistent with an another equilibrium … pricing rule in the point of the sensitivity of derivative prices …

Persistent link: https://www.econbiz.de/10012999558

Interest rate swap credit valuation adjustment

Černý, Jakub; Witzany, Jiří - 2014

of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation …

Persistent link: https://www.econbiz.de/10010358352

Pricing a Credit-Linked Note on a CDX Tranche

Chertok, Daniel L. - 2012

A credit-linked note (CLN) on a tranche of the CDX index (partially) protects the holder against default losses in that tranche. The holder receives a specified redemption amount at note maturity. The note is priced using market spread quotes for a matching CDS on this tranche

Persistent link: https://www.econbiz.de/10013098210

Rare Disasters, Credit and Option Market Puzzles

Christoffersen, Peter - 2016

We embed systematic default, pro-cyclical recovery rates and habit persistence into a model with a slight possibility of a macroeconomic disaster of reasonable magnitude. We derive analytical solutions for defaultable bond prices and show that a single set of structural parameters calibrated to...

Persistent link: https://www.econbiz.de/10013007489

Risk Premia in Option Markets

Madan, Dilip B. - 2015

Risk premia are related to price probability ratios or for continuous time pure jump processes the ratios of jump arrival rates under the pricing and physical measures. The variance gamma model is employed to synthesize densities with risk premia seen as the ratio of the three parameters. The...

Persistent link: https://www.econbiz.de/10013018782

Derivative pricing with collateralization and FX market dislocations

Moreni, Nicola; Pallavicini, Andrea - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10011734332

A tree Implementation of a credit spread model for credit derivatives

Schönbucher, Philipp J. - 2000 - This version June 1999

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...

Persistent link: https://www.econbiz.de/10011538904

First Order Replication of Spread Options

Blunck, Sönke - 2013

Given a spread option with underlyings X,Y and a copula model, we construct explicitly payoff functions f and g such that all first order greeks of the spread option with respect to the marginal distributions are matched by those of the replication portfolio {f(X),g(Y)}.Standard replication...

Persistent link: https://www.econbiz.de/10013083938

The market price of risk for delivery periods : pricing swaps and options in electricity markets

Kemper, Annika; Schmeck, Maren D.; Balci, Anna KH. - 2020

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...

Persistent link: https://www.econbiz.de/10012216375

Modelling Electricity Swaps with Stochastic Forward Premium Models

Blanco, Iván - 2017

We present a new model for pricing electricity swaps. Two general factors affect all contracts but unique risk factors affect each contract. General factors are average swap prices and deterministic trend-seasonal components, and unique factors are forward premiums. Innovations follow MNIG...

Persistent link: https://www.econbiz.de/10012966945

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