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Synthetic CDO Pricing : The Perspective of Risk Integration

Hu, Conghui - 2015

The underlying asset pool of collateral debt obligations (CDOs) simultaneously encompasses credit risk and market risk …

Persistent link: https://www.econbiz.de/10013013661

Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

Zarov, Iliyan Radev - 2012

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model

Persistent link: https://www.econbiz.de/10013113731

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

Options and Risk

Bruno, Giovanni - 2020

We propose a parsimonious general equilibrium extension of the Black-Scholes economy that helps clarify how options' prices, expected returns, risk exposure, and optimal exercise policies respond to variations in the risk exposure of the underlying asset. The model allows one to separate the...

Persistent link: https://www.econbiz.de/10012830325

Option Pricing in an Investment Risk-Return Setting

Kim, Young Shin - 2019

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...

Persistent link: https://www.econbiz.de/10012865720

Pricing interest rate derivatives under volatility uncertainty

Holzermann, Julian - 2020

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion, which drives the forward rate dynamics. The absence...

Persistent link: https://www.econbiz.de/10012175590

Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization

Brigo, Damiano - 2018

We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has not yet been studied previously and reaching valuation when replication is not assumed. This unifying theoretical...

Persistent link: https://www.econbiz.de/10012926351

The pitfalls of central clearing in the presence of systematic risk

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018

reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding … moving from a bilateral to a clearing architecture for derivative markets. Previous studies suggest that central clearing is … its counterparties: 1) correlation across and within derivative classes (i.e., systematic risk), 2) collateralization of …

Persistent link: https://www.econbiz.de/10011923506

Systematic Risk of Cdos and Cdo Arbitrage

Hamerle, Alfred - 2016

Persistent link: https://www.econbiz.de/10012989251

CDO Pricing : Copula Implied by Risk Neutral Dynamics

Hitier, Sebastien - 2016

that an understanding of the dynamics used in model for CDO is required to bring it to par with derivative models used for …

Persistent link: https://www.econbiz.de/10013000790