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Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

Discrete time hedging of OTC options in a GARCH environment : a simulation experiment

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000959376

Stock options as barrier contingent claims

Ericsson, Jan; Reneby, Joel - 1996

Persistent link: https://www.econbiz.de/10000953742

Monetary policy and bond option pricing in an analytical RBC model

Söderlind, Paul (contributor) - 2001 - [Elektronische Ressource], Rev. January 3, 2003

This paper analyzes how bond option prices are affected by different types of monetary policy. Analytical results from a general equilibrium model with sticky wages show that employment or output targeting typically give lower bond option prices than inflation targeting. -- inflation targeting ;...

Persistent link: https://www.econbiz.de/10001600072

A new approach to the derivation of asset price bounds

Rodríguez Longarela, Iñaki (contributor) - 2001 - [Elektronische Ressource], Rev. October 19, 2001

since a volatility constraint on the stochastic discount factor is a particular case of a restriction on this distance. We …

Persistent link: https://www.econbiz.de/10001600073

Credit risk in corporate securities and derivatives : valuation and optimal capital structure choice

Ericsson, Jan - 1997

Persistent link: https://www.econbiz.de/10000961237

A framework for valuing corporate securities

Ericsson, Jan; Reneby, Joel - 1995

Persistent link: https://www.econbiz.de/10000928598

A note on the pricing of real estate index linked swaps

Björk, Tomas (contributor); Clapham, Eric (contributor) - 2002 - [Elektronische Ressource]

correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of …

Persistent link: https://www.econbiz.de/10001645586

Bond markets where prices are driven by a general marked point process

Björk, Tomas; Kabanov, Jurij M.; Runggaldier, Wolfgang J. - 1995

Persistent link: https://www.econbiz.de/10000928616

Do forward markets enhance competition? : experimental evidence

Le Coq, Chloé (contributor); Orzen, Henrik (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2004

Hedging risks is an important rationale for the existence of forward markets. However, Allaz and Vila (1993) show that …

Persistent link: https://www.econbiz.de/10001693096