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In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed....
Persistent link: https://www.econbiz.de/10005022336
It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is...
Persistent link: https://www.econbiz.de/10005022358
In the mathematical treatment of financial derivatives, and specially that of options, the defining stochastic differential equation coupled with the arbitrage-free pricing condition leads to a deterministic partial differential equation. The solution of this equation under appropriate boundary...
Persistent link: https://www.econbiz.de/10005120756
The main goal of this paper is to develop a model of the term structure of interest rates, based on a Black-Sholes type of arbitrage and study its properties. In order to achieve this objective two state variables are considered: the long-term interest rate l(t), and the spread (difference...
Persistent link: https://www.econbiz.de/10005176392
Persistent link: https://www.econbiz.de/10008048969
In the context of a compound Poisson risk model, we define a threshold proportional reinsurance strategy: A retention level k1 is applied whenever the reserves are less than a determinate threshold b, and a retention level k2 is applied in the other case. We obtain the integro-differential...
Persistent link: https://www.econbiz.de/10005456374
In terms of global warming, early peak forecasts in oil and natural gas seem reasonably good news because most emissions arise from fossil fuel burning. However, this can be misleading if coal resources are as enormous as some estimations report because a switch between low carbon content fossil...
Persistent link: https://www.econbiz.de/10005456375
The paper analyses the link between human capital and regional economic growth in the European Union. Using different indicators of human capital calculated from census microdata, we conclude that the recent economic performance of European regions is associated to an increase in overeducation....
Persistent link: https://www.econbiz.de/10004970079
The Great Depression spurred State ownership in Western capitalist countries. Germany was no exception, the last governments of the Weimar Republic took over firms in diverse sectors. Later, the Nazi regime transferred public ownership and public services to the private sector. In doing so, they...
Persistent link: https://www.econbiz.de/10004971432
Our first objective is to compare the degree of concentration in manufacturing and services, with special emphasis on its evolution in these two sectors, using a sensitivity analysis for different concentration indices and different geographic units of analysis: municipalities and local labour...
Persistent link: https://www.econbiz.de/10004971433