Search Results - subject:"Poisson Process"

Über die Anreize umweltpolitischer Instrumente in saubere Technologien zu investieren bei Unsicherheit über den Verfügbarkeitszeitpunkt zukünftiger Technologien

Andreas von Döllen - 2007

Die Arbeit beschäftigt sich mit der Investition in neue, emissionsärmere Technologien, bei dem der Entscheider eine große, langfristige Investition tätigt und den dafür optimalen Zeitpunkt wählt. Dabei wird sowohl der gesamtwirtschaftliche Kontext, also die effiziente Allokation der neuen...

Persistent link: https://www.econbiz.de/10009428968

Calibrating CAT bonds for Mexican earthquakes

Härdle, Wolfgang Karl; Cabrera, Brenda López - 2007

The study of natural catastrophe models plays an important role in the prevention and mitigation of disasters. After the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance. This paper examines the calibration of a real...

Persistent link: https://www.econbiz.de/10010274132

Calibrating CAT bonds for Mexican earthquakes

Haerdle, Wolfgang; Cabrera, Brenda Lopez - 2007

The study of natural catastrophe models plays an important role inthe prevention and mitigation of disasters. After the occurrence of a naturaldisaster, the reconstruction can be financed with catastrophe bonds(CAT bonds) or reinsurance. This paper examines the calibration of a realparametric...

Persistent link: https://www.econbiz.de/10009445043

Hedges and Trees: Incorporating Fire Risk into Optimal Decisions in Forestry Using a No-Arbitrage Approach

Insley, Margaret; Lei, Manle - In: Journal of Agricultural and Resource Economics 32 (2007) 03

This paper investigates the impact of including the risk of fire in an optimal tree harvesting model at the stand level, assuming timber prices follow a mean-reverting stochastic process. The relevant partial differential equation is derived under different assumptions about hedging the risk of...

Persistent link: https://www.econbiz.de/10005484235

Calibrating CAT bonds for Mexican earthquakes

Härdle, Wolfgang; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

Stochastic Poisson Process, Trigger mechanism JEL classification: G19, G29, N26, N56, Q29, Q54 Acknowledgements: The financial … the best process governing the flow of earthquakes is described by the homogeneous Poisson process. Formerly estimating … they will be. The arrival process of earthquakes Nt can be characterized with a Homogeneous Poisson Process (HPP), with …

Persistent link: https://www.econbiz.de/10005677952

Exchange Options

Jamshidian, Farshid - Volkswirtschaftliche Fakultät, … - 2007

The contract is described and market examples given. Essential theoretical developments are introduced and cited chronologically. The principles and techniques of hedging and unique pricing are illustrated for the two simplest nontrivial examples: the classical Black-Scholes/Merton/Margrabe...

Persistent link: https://www.econbiz.de/10005619898

Volatility and Jump Risk Premia in Emerging Market Bonds

Matovu, John - International Monetary Fund (IMF) - 2007

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of...

Persistent link: https://www.econbiz.de/10005825819

An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model

Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2007

We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of the shifted square root jump diffusion (SSRJD) default intensity model. The formula consists of a decomposition of an option on a summation of survival probabilities in a summation...

Persistent link: https://www.econbiz.de/10008542369

Calibrating CAT bonds for Mexican earthquakes

Haerdle, Wolfgang; Cabrera, Brenda Lopez - European Association of Agricultural Economists - EAAE - 2007

Persistent link: https://www.econbiz.de/10005320357

Pricing catastrophic bonds for earthquakes in Mexico

López Cabrera, Brenda - 2006

After the occurrence of a natural disaster, the reconstruction can be financed with catastrophic bonds (CAT bonds) or reinsurance. For insurers, reinsurers and other corporations CAT bonds provide multi year protection without the credit risk present in reinsurance. For investors CAT bonds offer...

Persistent link: https://www.econbiz.de/10009467046