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MACRINA, ANDREA - In: International Journal of Theoretical and Applied … 17 (2014) 07, pp. 1450048-1

a basis for consistent applications in various market sectors, including equity markets, fixed-income markets, commodity … lends itself well to the modeling of dependence across asset classes. As an illustration, the impact of spiraling debt, a … typical feature of a financial crisis, is modeled explicitly, and the contagion effects can be readily observed in the …

Persistent link: https://www.econbiz.de/10011094652

Randomised mixture models for pricing kernels

Macrina, Andrea; Parbhoo, Priyanka A. - In: Asia-Pacific financial markets 21 (2014) 4, pp. 281-315

Persistent link: https://www.econbiz.de/10010511573

A fractal version of the Hull-White interest rate model

Hainaut, Donatien - In: Economic modelling 31 (2013), pp. 323-334

Persistent link: https://www.econbiz.de/10009729087

Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model

Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24

We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or...

Persistent link: https://www.econbiz.de/10015065971

Heat kernel interest rate models with time-inhomogeneous Markov processes

Akahori, Jirô; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10009562139

Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics

Platen, Eckhard - 2012

We investigate the existence of affine realizations for interest rate term structure models driven by Levy processes. Using as numeraire the growth optimal portfolio, we model the interest rate term structure under the real-world probability measure, and hence, we do not need the existence of an...

Persistent link: https://www.econbiz.de/10013098518