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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
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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
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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
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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
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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
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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
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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
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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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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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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