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Das Äquivalenzprinzip der Finanzmathematik

Walther, Ursula - 2002

Das Äquivalenzprinzip der Finanzmathematik vergleicht und bewertet Zahlungsströme. Dazu ist eine Bewertung von Zeit und … von Unsicherheit notwendig. Aus einem mathematischen Blickwinkel gesehen ist die Bewertung eine Äquivalenzrelation. Diese … Bewertung der Unsicherheit stehen sich das klassische Bernoulli-Prinzip mit individuellen Präferenzen und die …

Persistent link: https://www.econbiz.de/10010305677

Communication and decision-making by central bank committees: different strategies, same effectiveness?

Ehrmann, Michael; Fratzscher, Marcel - 2005

The paper assesses the communication strategies of the Federal Reserve, the Bank of England and the European Central Bank and their effectiveness. We find that the effectiveness of communication is not independent from the decisionmaking process in the committee. The paper shows that the Federal...

Persistent link: https://www.econbiz.de/10011604534

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John G. M. - 2009

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

Persistent link: https://www.econbiz.de/10010276719

The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model

Niehaus, Frank - Universität <Hannover> / Fachbereich … - 2001

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.

Persistent link: https://www.econbiz.de/10005840945

Recovery Risk in Stock Returns

Akgun, Aydin; Gibson, Rajna - 1999

This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

Persistent link: https://www.econbiz.de/10005843147

Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?

Cappiello, Lorenzo - 2000

This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).

Persistent link: https://www.econbiz.de/10005843151

How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods

Barras, Laurent; Isakov, Dušan - Université <Genève> / Section des Hautes Etudes … - 2001

The question that this paper raise in this paper is how to choose the best mix of countries to diversify internationally? They compare several methods of asset allocation from a Swiss perspective over the period 1988-2001.

Persistent link: https://www.econbiz.de/10005843298

Detecting Speculative Bubbles in Stock Prices : a New Approach and Some Evidence for the US

Siklos, Pierre L.; Bohl, Martin T. - 2001

A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)

Persistent link: https://www.econbiz.de/10005843733

Default Probabilities and Default Correlations

Erlenmaier, Ulrich; Gersbach, Hans - 2001

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...

Persistent link: https://www.econbiz.de/10005843735

Consistent valuation of project finance and LBO'susing the flows-to-equity method

Cooper, Ian; Nyborg, Kjell G. - Institut für Schweizerisches Bankwesen <Zürich> - 2010

A common method of valuing the equity in leveraged transactions is the flows-to-equity method whereby the free cash flow available to equity holders is discounted at the cost of equity. This method uses a standard definition of equity free cash flow, but the cost of equity varies over time as...

Persistent link: https://www.econbiz.de/10009354137