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Hedging and trees: Incorporating fire risk into optimal decisions in forestry using a no-arbitrage approach
Insley, Margaret; Lei, M. - Department of Economics, University of Waterloo - 2008
different assumptions about hedging the risk of fire. The assumption that fire risk is fully diversifiable is contrasted with …
Persistent link: https://www.econbiz.de/10005818075
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The role of jumps and options in the risk premia of interest rates
Lund, Bruno - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10012129514
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An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility*
Perron, Pierre; Qu, Zhongjun - Department of Economics, Boston University - 2006
Recently, there has been an upsurge of interest on the possibility of confusing long memory and structural changes in level. Many studies have documented the fact that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is...
Persistent link: https://www.econbiz.de/10005209377
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An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts
Perron, Pierre; Qu, Zhongjun - Department of Economics, Boston University - 2007
Recently, there has been an upsurge of interest on the possibility of confusing long memory and structural changes in level. Many studies have shown that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is biased away...
Persistent link: https://www.econbiz.de/10004994219
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Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)
Ait-Sahalia, Yacine - Econometric Society - 2004
focuses on the effect of the presence of jumps on the estimation of the volatility parameters, and the effect of the presence … of the continuous Brownian part on the estimation of the jumps parameters, in the context of maximum-likelihood and …
Persistent link: https://www.econbiz.de/10005699685
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A two-option Approach to Solving the Decision problem of Regeneration
Jacobsen, Jette Bredhal - In: Scandinavian Forest Economics: Proceedings of the …, 40
Real option theory has for some decades been used in forest economics to analyse decision problems which involve irreversible and stochastic decisions. One such decision is when to harvest a stand and with what species to regenerate. The latter decision can be postponed for some time, making a...
Persistent link: https://www.econbiz.de/10011168110
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"Real options in harvesting decision on publicly owned forest lands"
Insley, Margaret; Rollins, Kimberly - Department of Economics, University of Waterloo - 2002
This paper extends the literature on optimal tree harvesting assuming stochastic prices. With volatile prices, the value of a stand of trees is increased when harvesting dates are flexible, depending on wood volume and product prices of the day. Flexibility adds value because a forest owner can...
Persistent link: https://www.econbiz.de/10005225383
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Pricing and hedging of inflation-indexed bonds in an affine framework
Eksi, Zehra; Filipović, Damir - 2013
This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …
Persistent link: https://www.econbiz.de/10010257509
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Hedging option books using neural-sde market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 29 (2022) 5, pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
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An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of economic dynamics & control 44 (2014), pp. 29-53
Persistent link: https://www.econbiz.de/10010470085