Showing 181 - 190 of 207
We propose a Wishart Affine Stochastic Correlation (WASC) model for the joint dynamics of the SDF in an international economy. We derive exchange rate dynamics and a quasi-closed-form solution for currency option pricing. This solution includes Heston's stochastic volatility model as a special...
Persistent link: https://www.econbiz.de/10012856515
We analyze the optimal stock-bond portfolio under both learning and ambiguity aversion. Stock returns are predictable by an observable and an unobservable predictor, and the investor has to learn about the latter. Furthermore, the investor is ambiguity-averse and has a preference for investment...
Persistent link: https://www.econbiz.de/10012857427
In this paper we consider the question which path-independent claims are attainable through self-financing trading strategies in an incomplete market. We show for continuous-time stochastic volatility models and for models exhibiting both stochastic volatility and jumps that from this special...
Persistent link: https://www.econbiz.de/10012740259
There is empirical evidence that the implied volatility smile for index options is significantly steeper than the smile for individual options. We propose a simple model setup that is able to explain this difference. When modelling the index, an aggregation restriction has to be taken into...
Persistent link: https://www.econbiz.de/10012740407
This paper analyzes the optimal portfolio decision of a CRRA investor in models with stochastic volatility and stochastic jumps. The investor has access to one additional derivative, besides the stock and the money market account, but is restricted to a buy-and-hold strategy. We find that the...
Persistent link: https://www.econbiz.de/10012715322
Zinsderivate wie Swaps, Caps, Forwards oder Futures ermöglichen auf vielfältige Weise das Management von Zinsrisiken. Die Bewertung dieser Kontrakte erscheint jedoch meist wesentlich schwieriger und anspruchsvoller als die Bewertung von Aktien- oder Währungsderivaten, da Anleihen besondere...
Persistent link: https://www.econbiz.de/10013505177
We analyze the optimal insurance demand in a dynamic setup with two periods. In addition to the possibility to insure, the investor is allowed to transfer wealth between the two periods, i.e. she can save. While it is difficult to interpret the optimal saving and insurance decisions without...
Persistent link: https://www.econbiz.de/10012959911
We analyze pricing models for VIX derivatives which account for the theoretical link to stock options, taking Log-VIX models as a benchmark. We focus on up to three risk factors to model variance risk. To assess the performance of the models, we do not only look at the pricing errors, but also...
Persistent link: https://www.econbiz.de/10013008184
Persistent link: https://www.econbiz.de/10013383622
Persistent link: https://www.econbiz.de/10014475501