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Incomplete markets, liquidation risk, and the term structure of interest rates

Challe, Edouard; Le Grand, François; Ragot, Xavier - 2010

Persistent link: https://www.econbiz.de/10009381124

Incomplete Markets, Liquidation Risk, and the Term Structure of Interest Rates

Challe, Edouard - 2010

We analyze the term structure of real interest rates in a general equilibrium model with incomplete markets and borrowing constraints. Agents are subject to both aggregate and idiosyncratic income shocks, which latter may force them into early portfolio liquidation in a bad aggregate state. We...

Persistent link: https://www.econbiz.de/10013136237

The value of tradeability

Chesney, Marc; Kempf, Alexander - 2011

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

Persistent link: https://www.econbiz.de/10009314017

The value of tradeability

Chesney, Marc; Kempf, Alexander - 2010

Persistent link: https://www.econbiz.de/10008666521

Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Persistent link: https://www.econbiz.de/10011300314

Risk-neutral compatibility with option prices

Jacod, Jean; Protter, Philip E. - In: Finance and stochastics 14 (2010) 2, pp. 285-315

Persistent link: https://www.econbiz.de/10003951511

Model uncertainty and its impact on the pricing of derivative instruments

Cont, Rama - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 519-547

Persistent link: https://www.econbiz.de/10003338693

Coherent acceptability measures in multiperiod models

Roorda, B.; Schumacher, Johannes M.; Engwerda, Jacob … - In: Mathematical finance : an international journal of … 15 (2005) 4, pp. 589-612

Persistent link: https://www.econbiz.de/10003121131

On minimizing risk in incomplete markets option pricing models

Hammarlid, Ola - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 227-233

Persistent link: https://www.econbiz.de/10001240157

Hedging Under Generalized Good-Deal Bounds and Model Uncertainty

Becherer, Dirk - 2017

We study a notion of good-deal hedging, that corresponds to good-deal valuation and is described by a uniform … supermartingale property for the tracking errors of hedging strategies. For generalized good-deal constraints, defined in terms of … market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative …

Persistent link: https://www.econbiz.de/10012972303