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An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10010126547
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En empirisk analyse af de bestemmende faktorer fpr swap spændet
Asgharian, Hossein (contributor);  … - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10003721205
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Stock price fragility
Greenwood, Robin; Thesmar, David - 2009 - Rev.
We study the relation between the ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental shifts in demand. An asset can be fragile because of concentrated ownership, or because its owners face correlated or...
Persistent link: https://www.econbiz.de/10003931310
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - 2016
and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …
Persistent link: https://www.econbiz.de/10011516038
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The term structure of government debt uncertainty
Mele, Antonio; Obayashi, Yoshiki; Yang, Shihao - 2019
Persistent link: https://www.econbiz.de/10012181125
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018
significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure …
Persistent link: https://www.econbiz.de/10011899885
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Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter - 2018
significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …
Persistent link: https://www.econbiz.de/10011904683
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...
Persistent link: https://www.econbiz.de/10010338764
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Two problems in financial engineering
Chen, Nan - 2006
Persistent link: https://www.econbiz.de/10003965291
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Essays in financial economics
Graveline, Jeremy J. - 2006
Persistent link: https://www.econbiz.de/10003965315