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A Spot Stochastic Recovery Extension of the Gaussian Copula
Bennani, Norddine; Maetz, Jerome - Volkswirtschaftliche Fakultät, … - 2009
stochastic recovery modelling. This paper presents an extension to the standard Gaussian copula framework that introduces a … credit spread curves and index tranche markets. Through practical numerical examples, we analyze specific model properties …
Persistent link: https://www.econbiz.de/10008476375
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Three Remarks On Asset Pricing
Olkhov, Victor - 2021
volatility. The use of VWAP results in zero correlations between the price p and trade volume U. We derive a correlation between …
Persistent link: https://www.econbiz.de/10015213835
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Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market
Laib, Fodil; Radjef, MS - 2008
The aim of this work is to show how automated traders can operate a futures market. First, we established some hypothesises on the properties of the ’correct’ price pattern which translates accurately the underlying moves in the supply/demand balance and the nominal price, then mathematical...
Persistent link: https://www.econbiz.de/10015215371
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A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Li, Yadong - 2009
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent … independently from the CDO tranche pricing by applying one of the existing top-down methods to the common factor process. Numerical … exotic correlation products. …
Persistent link: https://www.econbiz.de/10015216668
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A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Li, Yadong - 2009
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent …, we argue that the default indicator copula should be used instead of the default time copula for the purpose of CDO … rate as the higher moments of the recovery rate have almost no contribution to the loss distribution and CDO tranche …
Persistent link: https://www.econbiz.de/10015220260
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Regulated and Non-Regulated Companies, Technology Adoptionin Experimental Markets for Emission Permits, and OptionsContracts
Chesney, Marc; Taschini, Luca - Institut für Schweizerisches Bankwesen <Zürich> - 2011
This paper examines the investment strategies of regulated companies in abatement technologies,market participants' trading behaviors, and the liquidity level in an inter-temporalcap{and{trade market using laboratory experiments. The experimental analysis is performedunder varying market...
Persistent link: https://www.econbiz.de/10009305252
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Three Remarks On Asset Pricing
Olkhov, Victor - 2021
We consider the time interval Δ during which the market trade time-series are averaged as the key factor of the consumption-based asset-pricing model that causes modification of the basic pricing equation. The duration of Δ determines Taylor series of investor’s utility over current and...
Persistent link: https://www.econbiz.de/10015259031
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Three Remarks On Asset Pricing
Olkhov, Victor - 2022
volume Un, but don’t causes statistical independence. As example, we derive expression for correlation between price p and …
Persistent link: https://www.econbiz.de/10015268394
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Three Remarks On Asset Pricing
Olkhov, Victor - 2021
price pn and trade volume Un but doesn’t cause statistical independence. We derive a correlation between the time series of …
Persistent link: https://www.econbiz.de/10015270624
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Three Remarks On Asset Pricing
Olkhov, Victor - 2021
We make three remarks to the main CAPM equation presented in the well-known textbook by John Cochrane (2001). First, we believe that any economic averaging procedure implies aggregation of corresponding time series during certain time interval Δ and explain the necessity to use math expectation...
Persistent link: https://www.econbiz.de/10015244756