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A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate

Gong, Pu - 2017

developed for pricing real estate derivatives with stochastic interest rate. To obtain a computationally simple binomial tree … used to enhance the convergence of the discrete binomial lattice models to continuous models when pricing European options …. In addition, our smooth convergent models can also be applied to pricing American options …

Persistent link: https://www.econbiz.de/10012946171

Liquidity Provision, Credit Risk and the Bond Spread : New Evidence from the Subprime Mortgage Market

An, Xudong - 2015

We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected subprime loan rates, explaining a significant portion of the...

Persistent link: https://www.econbiz.de/10013012971

Expectations, Intermediaries, and the Term Structure of Rental Housing Supply

Hu, Jiayin; Li, Shangchen; Zhang, Yingguang (Conson); … - 2022

Housing decisions depend critically on the supply of long-term rental housing, yet surprisingly few studies examine the determinants of this supply. Based on term structure theories of asset prices and extrapolative beliefs, we hypothesize that housing market conditions shape the term structure...

Persistent link: https://www.econbiz.de/10013294099

Interactions between Market and Credit Risk: Modeling the Joint Dynamics of Default-free and Defaultable Bond Term Structures

Walder, Roger - 2002

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

Persistent link: https://www.econbiz.de/10005843342

Ambiguity Aversion and the Term Structure of Interest Rates

Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reﬂect a premium for ambiguity, which is observationally distinct from the risk...

Persistent link: https://www.econbiz.de/10005858032

Optimal Investment in Variance Swaps Under Stochastic Volatility

Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006

structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …

Persistent link: https://www.econbiz.de/10005858375

Term structures of implied volatilities : Absence of arbitrage and existence results

Schweizer, Martin; Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2006

This paper studies modelling and existence issues for market models of stochastic implied volatility in a continuous-time framework with one stock, one bank account and a family of European options for all maturities with a fixed payoff function h. We first characterize absence of arbitrage in...

Persistent link: https://www.econbiz.de/10005858725

Portfolio Losses and the Term Structure of Loss Transition Rates : A New Methodology for the Pricing of Portfolio Credit Derivates

Schönbucher, Philipp J. - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper, we present a model for the joint stochastic evolution of the cumulative loss process of a credit portfolio and of its probability distribution. At any given time, the loss distribution of the portfolio is represented using forward transition rates, i.e. the transition rates of a...

Persistent link: https://www.econbiz.de/10005858734

Libor Market Model with Regime-Switching Volatility

Elliott, Robert; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2004

This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the volatility is modelled by a square root process with a...

Persistent link: https://www.econbiz.de/10005858810

Multi-Currency Quadratic Models : Theory and Evidence

Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

The challenge of international term structure models is to simultaneously account for the properties of interest rate term structures and foreign exchange rates within an arbitrage-free framework. We extend the quadratic term structure models proposed in Leippold and Wu (2002) to multiple...

Persistent link: https://www.econbiz.de/10005858853