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Credit Migration Derivatives : Modelling of the Underlying Credit Migration Matrices

Andersson, Andreas - 2008

In this thesis I develop a model for describing the dynamic behavior of Credit Migration Matrices under a Point-in-time Rating Philosophy. Characteristics of the yearly Migration Matrices following a Point-in-Time Philosophy are presented. Through the introduction of the concept of Rating...

Persistent link: https://www.econbiz.de/10014214264

Feasibility of Weather Derivatives for Agriculture Risk Reduction in Sri Lanka

Dayasekara, Samitha - 2016

determine the performance of an index based weather derivative for Sri Lanka. Paddy productivity was modelled by a time series … the minimum revenue risk. The performance of the contract is proved by Value-at-Risk. The derivative provides risk …-protection against yield shortfalls. A dynamic and aggregate portfolio will increase the derivative writers’ profit …

Persistent link: https://www.econbiz.de/10014035464

0DTE Option Pricing

Bandi, Federico M.; Fusari, Nicola; Renò, Roberto - 2023

The market for ultra short-term (zero days-to-expiry or 0DTE) options has grown exponentially over the last few years. In 2023, daily volume in 0DTEs reached over 45% of overall daily options volume. After briefly describing this exploding new market, we present a novel pricing formula designed...

Persistent link: https://www.econbiz.de/10014348685

Portfolio Credit Derivatives Based on Rating Migration

Gisiger, Nicolas - 2009

portfolio credit derivative. Applications and payoff examples are provided, as well as a chapter on the modelling and pricing of …

Persistent link: https://www.econbiz.de/10014210286

The institutional architecture of value : appraisals and the formation of bubbles in the financialised real estate sector

Duros, Marine - In: Rethinking finance in the face of new challenges, (pp. 115-130). 2021

Persistent link: https://www.econbiz.de/10013186830

Hidden Correlations : A Self-Exciting Tale from the FX World

Ballotta, Laura - 2018

The aim of this paper is to investigate the dependence between exchange rates and their volatility from the information synthesised into currency options quotes. To this purpose, we propose an affine stochastic volatility model with self-exciting structure under a timechanged pure jump Lévy...

Persistent link: https://www.econbiz.de/10012911625

Smiles & Smirks : A Tale of Factors

Ballotta, Laura - 2018

In this paper we propose a novel flexible framework based on time changed Lévy process for the joint evolution of stock log-returns and their volatility with the aim of analysing which risk factors and which distribution features provide a robust calibration, repricing and hedging performance....

Persistent link: https://www.econbiz.de/10012933831

A Note on Multivariate Asset Models Using Levy Processes

Ballotta, Laura - 2010

Persistent link: https://www.econbiz.de/10012716057

Nonparametric Estimation of American Options Exercise Boundaries and Call Prices

Broadie, Mark; Detemple, Jérôme B.; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1996

Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even …

Persistent link: https://www.econbiz.de/10005100553

Nonparametric Methods and Option Pricing

Ghysels, Eric; Patilea, Valentin; Renault, Éric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1997

In this paper, we survey some of the recent nonparametric estimation methods which were developed to price derivative …

Persistent link: https://www.econbiz.de/10005100825