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Leveraged finance : concepts, methods, and trading of high-yield bonds, loans and derivatives
Antczak, Stephen J. - 2009
Persistent link: https://www.econbiz.de/10013489978
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Three Solutions to the Pricing Kernel Puzzle
Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010
The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …
Persistent link: https://www.econbiz.de/10009305117
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Liquidity Models in Continuous and Discrete Time
Roch, Alexandre F.; Gökay, Selim; Soner, H. Mete - Swiss National Centre of Competence in Research North … - 2010
The study of liquidity in financial markets either invokes the ease with whichfinancial securities can be bought and sold, or addresses the ability to tradewithout triggering important changes in asset prices. More specifically, onecan think of liquidity as an exogenous measure of the added...
Persistent link: https://www.econbiz.de/10009305121
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Do prices respond stronger to more precise news? - Testing for the catalyzing effects of precision signals in the U.S. employment report
Hautsch, Nikolaus; Hess, Dieter - 2003
It is well documented that the U.S. employment report has a strong price impact in financial markets. Based of these precision proxies, we show that prices respond significantly stronger to more precise information, even after controlling for an asymmetric price response to ’good’ and ’bad’...
Persistent link: https://www.econbiz.de/10005844931
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Aircraft Noise Derivatives
Dalbert, Curdin; Vanini, Paolo - Swiss National Centre of Competence in Research North … - 2009
Changing noise levels have a severe impact on house prices and through the leveragein nancing on households wealth. This risk is essential for houses close to airportswith uncertain aircraft regimes. We design and calibrate real options based on aircraftnoise to hedge against noise risk. The...
Persistent link: https://www.econbiz.de/10005868724
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Approximate Derivative Pricing for Large Class ofHomogeneous Assets
Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2008
prediction and pricing formulas for the future factorvalues and their proxies, when the size n of the class is large. Up to order …
Persistent link: https://www.econbiz.de/10005868923
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Anschleichen an Übernahmeziele mittelsCash Settled Equity Derivaten – ein Regelungsvorschlag
Baums, Theodor; Sauter, Maike - Institute for Law and Finance <Frankfurt, Main> - 2009
Die vorstehenden Überlegungen zeigen die Komplexität eines Versuches auf, Cash SettledEquity-Instrumente kapitalmarktrechtlich einzufangen, um die Umgehung vonMitteilungspflichten und das Anschleichen an Zielunternehmen mit Hilfe dieser Instrumentetunlichst auszuschalten. Diese Schwierigkeiten...
Persistent link: https://www.econbiz.de/10005869576
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Chaos & nonlinear dynamics in the financial markets : theory, evidence and applications
Trippi, Robert R. (ed.) - 1995
Persistent link: https://www.econbiz.de/10000544254
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The forecast ability of risk-neutral densities of foreign exchange
Craig, Ben R.; Keller, Joachim - 2005
We estimate the process underlying the pricing of American options by using higher-order lattices combined with a …
Persistent link: https://www.econbiz.de/10003313011
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XVA : credit, funding and capital valuation adjustments
Green, Andrew - 2016
Persistent link: https://www.econbiz.de/10011381463