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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

The Term Structure of Illiquidity Premia

Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Universität <Köln> / Wirtschafts- und …; … - 2009

This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...

Persistent link: https://www.econbiz.de/10008911533

The Term Structure of Defaultable Bond Prices

Schönbucher, Philipp J. - 1996

In this paper we present a new methodology for modelling the development of the prices of defaultable zero coupon bonds that is inspired by the Heath-Jarrow-Morton (HJM) approach to risk-free interest rate modelling. Instead of precisely specifying the mechanism that triggers the default we...

Persistent link: https://www.econbiz.de/10009138377

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

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