With the introduction of the accounting standards FAS 123 and IFRS 2 for executive stock options an important change towards quot;fair value accountingquot; has taken place. As companies are now forced to value their stock options at grant date for accounting purposes, the robustness of prices...

This paper provides a new approach in modelling dependent defaults within a top-down approach. First, a general framework to map the default of a set of obligors is developed by using a marked Poisson Process. Then, a characterization of the default intensity for a set of obligors is derived,...

Objective of this paper is to gain insights into jump occurrences and to enhance the understanding of modelling jumps in electricity markets. We provide a common modelling framework that allows to incorporate the main jump patterns observed in electricity spot prices and compare the...

The advent of the EU Emissions Trading Scheme (EU ETS) introduced CO2 emission allowances as a new tradable asset. Market participants now face the question how to manage the risks associated with these emission certificates. In this paper we discuss the market environment in the EU ETS and...

This paper develops a simple model for a leveraged firm and endogenizes the firm's bankruptcy point by assuming that equity issuance is costly. Equity-issuance costs reflect the difficulties in issuing new equity for firms that are close to financial distress. The resulting model captures...

This paper empirically studies the risk structure of interest rates for Deutschemark-denominated bonds. For this purpose, we estimate term structures of interest rates using the parsimonious fitting function of Nelson and Siegel (1987) for virtually risk free Government bonds and five different...

This paper empirically studies the risk structure of interest rates for Deutschemark-denominated bonds. For this purpose, we estimate term structures of interest rates using the parsimonious fitting function of Nelson and Siegel (1987) for virtually riskfree Government bonds and five different...

Despite its well-known limitations, the Black's model [1] is often used in practice to value interest rate derivatives. The aim of this article is to analyse whether the Black's approach, which models one specific forward rate rather than the whole yield curve, is also an appropriate solution...

Despite its well-known limitations, the Black's model (1976) is often used in practice to value interest rate derivatives. The aim of this article is to analyse whether the Black's approach, which models one specific forward rate rather than the whole yield curve, is also an appropriate solution...

This paper develops a simple model for a leveraged firm and endogenizes the firm's bankruptcy point under the assumption that equity issuance is costly. Equity issuance costs are assumed to reflect the difficulties in issuing new equity for firms that are close to financial distress. Hence,...