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A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....
Persistent link: https://www.econbiz.de/10010293729
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A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
Brownian motion. …
Persistent link: https://www.econbiz.de/10010293743
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Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management
Bank, Matthias; Kupfer, Alexander; Sendlhofer, Rupert - 2011
We argue that current sovereign debt management lacks important incentives for governments and politicians to fulfill it in a sustainable and long-term orientated way. This paper outlines that the mechanisms to solve sovereign debt problems within the EMU are not only missing the right...
Persistent link: https://www.econbiz.de/10010294841
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Forecasting the price of crude oil via convenience yield predictions
Knetsch, Thomas A. - 2006
pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from …
Persistent link: https://www.econbiz.de/10010295802
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Market conditions, default risk and credit spreads
Tang, Dragon Yongjun; Yan, Hong - 2008
This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are decreasing in GDP growth rate, but increasing...
Persistent link: https://www.econbiz.de/10010295945
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The pricing of correlated default risk: evidence from the credit derivatives market
Zhu, Haibin; Tarashev, Nikola A. - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default …
Persistent link: https://www.econbiz.de/10010295946
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A value at risk analysis of credit default swaps
Scheicher, Martin; Raunig, Burkhard - 2008
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...
Persistent link: https://www.econbiz.de/10010295949
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Credit gap risk in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009
to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility …. Using a representation of the credit quality process as a time-changed Brownian motion, one can derive formulas for …
Persistent link: https://www.econbiz.de/10010301707
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Credit dynamics in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009
, a credit quality process is driven by an Itô integral with respect to a Brownian motion with stochastic volatility …. Using a representation of the credit quality process as a time-changed Brownian motion, we derive formulas for conditional …
Persistent link: https://www.econbiz.de/10010301718
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An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer; Veith, Jochen - 2006
our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The … rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options …. We show that option prices depend significantly on the level of overreaction, regardless of prevailing risk preferences …
Persistent link: https://www.econbiz.de/10010301798