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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

Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency

Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - Alfred-Weber-Institut für Sozial- und …; … - 2010

In this paper we model the adjustment process of European Union Allowance(EUA) prices to the releases of announcements at high-frequency controlling forintraday periodicity, volatility clustering and volatility persistence. We ¯nd thatthe high-frequency EUA price dynamics are very well captured...

Persistent link: https://www.econbiz.de/10009249002

Does the “Bund” dominate price discovery in Euro bond futures?Examining information shares

Fricke, Christoph; Menkhoff, Lukas - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010

This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bondfuture contract on German sovereign debt, versus two futures with shorter maturity. We findthat the Bund is most important but does not dominate price discovery. The other contractsalso have relevant –...

Persistent link: https://www.econbiz.de/10009302617

Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model

Messow, Philip - 2012

credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is …

Persistent link: https://www.econbiz.de/10010287293

The Short Term Price Performance of Initial Public Offerings of Common Stock: Australia 1991-1994

Kearney, C.; Sadeghi, M. - School of Business, University of Western Sydney - 1996

This paper provides new evidence on the short-term pricing of Australian IPOs using daily data on 188 IPOs from January …

Persistent link: https://www.econbiz.de/10005478556

Forecasting the S&P500: A Disequilibrium Indicator.

Davidson, S.; Meyer, S. - School of Economics, Finance and Marketing, RMIT University - 1996

, however, is that there are no tools to inform inormation of the extent of mis-pricing. This paper offers such a tool. …

Persistent link: https://www.econbiz.de/10005487295

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

An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - EconWPA - 2001

In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works well for...

Persistent link: https://www.econbiz.de/10005413092

Simulation-Based Pricing of Convertible Bonds

Ammann, Manuel; Kind, Axel; Wilde, Christian - EconWPA - 2005

We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses … parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the … pricing study of the US market, using 32 convertible bonds and 69 months of daily market prices. Our results do not confirm …

Persistent link: https://www.econbiz.de/10005413169

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