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Toxic asset subsidies and the early redemption of talf loans
Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20
This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. In contrast, by the 3rd quarter of the 2010, there was on...
Persistent link: https://www.econbiz.de/10013252762
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Central counterparties and liquidity provision in cash markets
Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26
This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance sheet encumbrance through the use of central counterparties (CCPs). The introduction of the Basel III leverage rule constitutes a shock to market makers’ balance sheets and...
Persistent link: https://www.econbiz.de/10012798918
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Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study
Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95
Investment behaviour, techniques and choices have evolved in the options markets since the launch of options trading in … science, impacts investors' decisions and their trading position, particularly in the financial markets. Our paper aims to …
Persistent link: https://www.econbiz.de/10012115106
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Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives
Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent economics & finance 5 (2017) 1, pp. 1-25
The objective of the paper is to extend the results in Fournié, Lasry, Lions, Lebuchoux, and Touzi (1999), Cass and Fritz (2007) for continuous processes to jump processes based on the Bismut–Elworthy–Li (BEL) formula in Elworthy and Li (1994). We construct a jump process using a...
Persistent link: https://www.econbiz.de/10011886622
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Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215
Persistent link: https://www.econbiz.de/10003839259
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Structured bonds and Greek demons is the attack ”fair”?
Kiriakopoulos, Konstantinos; Mavralexakis, Theodoros - In: Journal of applied finance & banking 1 (2011) 2, pp. 231-277
The severe political turmoil provoked by an allegedly mispriced private bond issue in Greece added to the controversial matter of whether prices of structured bonds sold to investors are "fair" or not. In this paper structured bond market is analysed with particular focus on valuation issues. It...
Persistent link: https://www.econbiz.de/10009536149
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Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles
Corona Dueñas, José Asunción - In: Atlantic review of economics : AROE 1 (2012)
trading. The first part is a review of the literature to analyze work they have done to date others, then studied at 25 non …
Persistent link: https://www.econbiz.de/10009664415
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Option volume and stock returns : evidence from single stock options on the Korea Exchange
Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies 29 (2021) 4, pp. 280-300
' behavior in the options market. In this study, we examine whether the trading volume ratios of single stock options have the … announcement of performance" of 36 underlying stocks on the Korea Exchange from November 2014 to March 2021 and the trading volume …
Persistent link: https://www.econbiz.de/10012658766
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Hedging long-dated oil futures and options using short-dated securities : revisiting Metallgesellschaft
Doran, James S.; Ronn, Ehud I. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10
with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper … identifies a model-free non-parametric approach to extrapolating futures prices and implied volatilities. When we expand the … analysis to implementing hedge portfolios for long-dated futures or option contracts over the time period 2007-2017, we utilize …
Persistent link: https://www.econbiz.de/10012626875
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An artificial intelligence approach to the valuation of American-style derivatives : a use of particle swarm optimization
Chen, Ren-Raw; Huang, Jeffrey; Huang, William; Yu, Robert - In: Journal of risk and financial management : JRFM 14 (2021) 2/57, pp. 1-22
In this paper, we evaluate American-style, path-dependent derivatives with an artificial intelligence technique. Specifically, we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence is particularly efficient (regarding computation and...
Persistent link: https://www.econbiz.de/10012483653