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Equity Correlations Implied by Index Options : Estimation and Model Uncertainty Analysis

Cont, Rama - 2010

this method to equity and index options shows that, while multivariate diffusion models with constant correlation fail to … correlation patterns compatible with observed prices of index options. Our method allows, as a by product, to quantify this model …

Persistent link: https://www.econbiz.de/10013144664

A Note on Exchange Options Under Stochastic Interest Rates

Bernard, Carole - 2010

An exchange option, also called “Margrabe option”, gives the right, but not the obligation to exchange an asset for another asset. In a recent paper in the Encyclopedia of Quantitative Finance (2010), Professor Rolf Poulsen writes that “[t]he Margrabe formula is still valid with stochastic...

Persistent link: https://www.econbiz.de/10013142160

Efficient and Exact Simulation of the Gaussian Affine Interest Rate Models (with Application to the Hull White Model and G2++ Model)

Ostrovski, Vladimir - 2018

The Gaussian affine interest rate models are widely used in the financial industry for pricing, hedging and also risk management purposes. We consider the multifactor models with time dependent parameters. Usually the models are simulated using some appropriate discretization schema because the...

Persistent link: https://www.econbiz.de/10012935570

A General Parametrization of Correlation Matrix for a Multidimensional Stochastic Volatility Model

Sahel, Fouad - 2013

build a parameterization of the correlation matrix of a multidimensional model with stochastic volatility, given that:1. The … correlation between each asset and its volatility is specified.2. The correlations between different assets are specified.In the …Recent evolutions of the business of exotic products has rendered the use of stochastic volatility models necessary …

Persistent link: https://www.econbiz.de/10013078296

The Effect of Conditional Volatility, Skewness, and Excess Kurtosis on Interest Rates

AlTalafha, Sarah Hussein; Maroney, Neal - 2022

This paper examines the lognormality assumption of per capita, real consumption growth, which is a common assumption in asset pricing models. We found that shocks to household consumption growth are persistent, negatively skewed, and have excess kurtosis. Therefore, we revisited the fundamental...

Persistent link: https://www.econbiz.de/10014239651

Estimating single factor jump diffusion interest rate models

Sorwar, Ghulam - In: Applied financial economics 21 (2011) 22/24, pp. 1679-1689

Persistent link: https://www.econbiz.de/10009385057

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

Alternative characterization of volatility of short-term interest rate

Bhar, Ramaprasad; Lee, Damien - In: International journal of financial engineering 5 (2018) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10011923007

Bond and option prices with permanent shocks

Zoubi, Haitham al- - In: Journal of empirical finance 53 (2019), pp. 272-290

Persistent link: https://www.econbiz.de/10012171645

Pricing Interest Rate Derivatives Under Different Interest Rate Modeling : A Critical and Empirical Comparison

De Simone, Antonio - 2011

This paper deals with issues related to the choice of the interest rate model to price interest rate derivatives. After the development of the market models, choosing the interest rate model has become almost a trivial task. However, their use is not always possible, so that the problem of...

Persistent link: https://www.econbiz.de/10013130645