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Puopolo, Giovanni W. - Finrisk - 2009

This paper studies the asset pricing implications of a general equi-librium model in which real investment is …

Persistent link: https://www.econbiz.de/10009022140

Asset Pricing with Matrix Jump Diffusions

Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

Persistent link: https://www.econbiz.de/10009248844

Price Impact and Portfolio Impact

Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2010

We study survival, price impact and portfolio impact in heterogeneouseconomies. We show that, under the equilibrium risk-neutral measure,long-run price impact is in fact equivalent to survival, whereas longrunportfolio impact is equivalent to survival under an agent-specic,wealth-forward...

Persistent link: https://www.econbiz.de/10009305110

Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets

Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Bank für Internationalen Zahlungsausgleich <Basel> - 2008

Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can...

Persistent link: https://www.econbiz.de/10009305112

Three Solutions to the Pricing Kernel Puzzle

Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010

The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …

Persistent link: https://www.econbiz.de/10009305117

Price discovery in government bond markets

Valseth, Siri - Universitetet <Stavanger> / School of Business … - 2011

This paper investigates the process of price discovery in government bond markets.By using a new data set including interdealer trades, customer trades, trade types anddealer identities, the paper explores the role of dealers in the price formation processand seeks to identify their sources of...

Persistent link: https://www.econbiz.de/10009305184

What factors aect the Oslo Stock Exchange?

Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - Universitetet <Stavanger> / School of Business … - 2009

This paper analyzes return patterns and determinants at the Oslo Stock Ex-change (OSE) in the period 1980{2006. We nd that a three-factor model con-taining the market, a size factor and a liquidity factor provides a reasonable t forthe cross-section of Norwegian stock returns. As expected, oil...

Persistent link: https://www.econbiz.de/10009305197

Dynamic utility-based good deal bounds

Kloppel, Susanne; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008

, viaduality, restrictions on pricing kernels and thereby gives tighter valuation boundson payoffs than absence of arbitrage alone … and global (conditional) pricing kernel restrictions for the temporally dynamicsetting. For the dynamic case, we show in a …

Persistent link: https://www.econbiz.de/10005857734

Empirical Pricing Kernels and Investor Preferences

Detlefsen, Kai; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for …

Persistent link: https://www.econbiz.de/10005861046

Put Options Are Not Too Expensive— An Analysis of Path Peso Problems —

Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2005

The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …

Persistent link: https://www.econbiz.de/10005867630