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Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election
Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998
The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders react to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...
Persistent link: https://www.econbiz.de/10005646662
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Approximating the Asset Pricing Kernel.
Chapman, D.A. - William E. Simon Graduate School of Business … - 1996
This paper suggests a general approach to testing dynamic models by approximating the true asset pricing kernel …
Persistent link: https://www.econbiz.de/10005646719
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Pricing of non-redundant derivatives in a complete market
Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine (Paris IX) - 1999
We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...
Persistent link: https://www.econbiz.de/10010709003
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Humps in the volatility structure of the crude oil futures market: New evidence
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy Economics 40 (2013) C, pp. 989-1000
feature is more pronounced when the market is more volatile, and delivers better pricing as well as hedging performance under …
Persistent link: https://www.econbiz.de/10010718761
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Pricing of non-redundant derivatives in a complete market.
Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine - 1999
We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...
Persistent link: https://www.econbiz.de/10008800245
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Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market
de Jong, Frank C. J. M.; Donders, M.W.M. - Tilburg University, Center for Economic Research - 1996
In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated.Due to market imperfections, one of these markets may reflect information faster.The use of high-frequency data and the choice for a small...
Persistent link: https://www.econbiz.de/10011092782
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Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012
-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …
Persistent link: https://www.econbiz.de/10011110035
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Hedging American contingent claims with constrained portfolios
Karatzas, Ioannis; (*), S. G. Kou - In: Finance and Stochastics 2 (1998) 3, pp. 215-258
The valuation theory for American Contingent Claims, due to Bensoussan (1984) and Karatzas (1988), is extended to deal with constraints on portfolio choice, including incomplete markets and borrowing/short-selling constraints, or with different interest rates for borrowing and lending. In the...
Persistent link: https://www.econbiz.de/10005390719
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Pricing American-Style Securities Using Simulation.
Broadie, M.; Glasserman, P. - Graduate School of Business, Columbia University - 1996
We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice. Our algorithm provides both point estimates and error bounds for true security price.
Persistent link: https://www.econbiz.de/10005630991
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Empirical Tests of an Option Price Inversion Approach.
McIntyre, M. - Rotman School of Management, University of Toronto - 1999
This paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.
Persistent link: https://www.econbiz.de/10005631243