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Efficient hedging for a complete jump-diffusion model
Kirch, Michael; Krutchenko, R. N.; Melnikov, Aleksandr V. - 2002
This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump-diffusion model. In this context, it is well understood that every contingent claim can be hedged perfectly if one invests the unique arbitrage-free price. Based on the results of H....
Persistent link: https://www.econbiz.de/10010310520
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Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach
Ma, Chenghu - In: Annals of Economics and Finance 4 (2003) 2, pp. 401-426
The aim of this paper is to generalize Heath, Jarrow and Morton (1992, Econometrica) model of the term structure of interest rates within a jumpdiffusion formework. This is achieved by assuming that the forward rate process has a Levy jump component with general jump size distributions....
Persistent link: https://www.econbiz.de/10009150918
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Efficient hedging for a complete jump-diffusion model
Kirch, Michael; Krutchenko, R. N.; Melnikov, Aleksandr V. - Sonderforschungsbereich 373, Quantifikation und … - 2002
This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump-diffusion model. In this context, it is well understood that every contingent claim can be hedged perfectly if one invests the unique arbitrage-free price. Based on the results of H....
Persistent link: https://www.econbiz.de/10010983604
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10003933233
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The Use of Credit Claims as Collateral for Eurosystem Credit Operations
Tamura, Kentaro - 2013
Credit claims (or bank loans) represent a large share of the collateral accepted by the Eurosystem in its credit … operations in recent years. Hence the techniques and procedures used in the use of credit claims as collateral have become … accepted by the Eurosystem. While several types of credit claims are eligible as Eurosystem collateral, each type of credit …
Persistent link: https://www.econbiz.de/10013082976
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An Equilibrium Model for the OTC Derivatives Market with a Collateral Agreement
Takino, Kazuhiro - 2015
collateral agreement. We then verify the effect of the collateral agreement on the derivative transaction by using the …, and enables us to observe the influence of the collateral agreement on these. Our numerical results also verify how the … market equilibriums for the derivatives change according to the change of the collateral amount through the demand …
Persistent link: https://www.econbiz.de/10013014285
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An Equilibrium Pricing for OTC Derivatives with Collateralization. Application of Economic Premium Principle
Takino, Kazuhiro - 2016
the collateral agreements. We also demonstrate whether our pricing approach is consistent with an another equilibrium …
Persistent link: https://www.econbiz.de/10012999558
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The Effect of Mutualization and Collateralization on Credit Default Swaps Premium
Rojas Cama, Freddy - 2019
This paper examines the effect of collateralization and mutualization (of losses) on credit default swaps (CDS) premium in a context of high counterparty risk operating through an opaque derivatives market. This setup certainly makes clearing practices to affect the size of positions, recovery...
Persistent link: https://www.econbiz.de/10012864366
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Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA
Muñoz, García; Manuel, Luis; de Lope Contreras, Fernando - Volkswirtschaftliche Fakultät, … - 2015
As a byproduct of the 2007-2008 credit crunch, derivatives pricing and risk management are experiencing a dramatic transformation. Assumptions that were widely accepted not long ago, like absence of counterparty credit risk and the existence of a unique risk free curve available for every...
Persistent link: https://www.econbiz.de/10011168668
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CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions.
Muñoz, García; Manuel, Luis - Volkswirtschaftliche Fakultät, … - 2013
In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We assume that one counterparty will act as the derivatives hedger while the other will act as the investor. Therefore, the derivative's price will reflect the replication costs...
Persistent link: https://www.econbiz.de/10011110003