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Credit gap risk in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Centre for Practical Quantitative Finance <Frankfurt, Main> - 2009
The payoff of many credit derivatives depends on the level of credit spreads. Inparticular, credit derivatives with a leverage component are subject to gap risk, a riskassociated with the occurrence of jumps in the underlying credit default swaps. Inthe framework of first passage time models, we...
Persistent link: https://www.econbiz.de/10008695276
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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
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Empirical Pricing Kernels and Investor Preferences
Detlefsen, Kai; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for …
Persistent link: https://www.econbiz.de/10005861046
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Multiple Trees Subject to Event Risk
Porchia, Paolo; Trojani, Fabio - National Centre of Competence in ResearchFinancial … - 2009
We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …
Persistent link: https://www.econbiz.de/10005868703
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Why Are Put Options So Expensive?
Bondarenko, Oleg - In: Quarterly Journal of Finance (QJF) 04 (2014) 03, pp. 1450015-1
been too high and incompatible with the canonical asset-pricing models. To investigate whether put returns could be …
Persistent link: https://www.econbiz.de/10011078374
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The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011
building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …
Persistent link: https://www.econbiz.de/10011259157
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Markets Evolution After the Credit Crunch
Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012
pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …
Persistent link: https://www.econbiz.de/10011260721
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Interest Rates After the Credit Crunch: Markets and Models Evolution
Bianchetti, Marco; Carlicchi, Mattia - In: Journal of Financial Transformation 32 (2011), pp. 35-48
terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … 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/10009318572
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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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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