Similar Search Results

Theory and Calibration of Swap Market Models

Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by …

Persistent link: https://www.econbiz.de/10005858304

Pricing Bermudan Swaptions in a Stochastic-Volatility LIBOR Market Model

Valchev, Stoyan; Matache, Ana-Maria - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper introduces a time-inhomogeneous parameterization of the forward LIBOR volatilities and analyzes its implications for the valuation of Bermudan swaptions. The model approximates the actual term structure of volatilities with a curve from a given set deﬁned by the parametric...

Persistent link: https://www.econbiz.de/10005858312

Convexity Adjustments and Forward Libor Model: Case of Constant Maturity Swaps

Lu, Yinqiu; Neftci, Salih - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

difference (spread) between the two-period CMS swap rates calcu-lated by convexity adjustment and Forward Libor Model. The spread … 0.8750 and 0.7939, respectively. Moreover,convexity adjustment yields CMS swap rates higher than Forward Libor Modeldoes …. Since the pricing using Forward Libor Model would be exact, we concludethat the convexity adjustment overestimates CMS swap …

Persistent link: https://www.econbiz.de/10005858548

Credit Default Swaps and Financial Crisis Prediction

Neftci, Salih; Oliveira Santos, Andre; Lu, Yinqiu - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect …

Persistent link: https://www.econbiz.de/10005858549

A note on survival measures and the pricing of options on credit default swaps

Schoenbucher, Phillip J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this note the pricing of options on credit default swaps using the survival-measure -pricing technique is discussed. In particular, we derive amodiﬁcation of the famous Black (1976) futures pricing formula which appliesto options on CDS, and show how other pricing formulae can be easily...

Persistent link: https://www.econbiz.de/10005858552

Analyzing Credit Risk in Default Swap Transaction Data : Is Fixed-Income Markets Information Sufficient to Evaluate Credit Risk?

Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are …

Persistent link: https://www.econbiz.de/10005859382

Risk Management for Derivatives in Illiquid Markets : A Simulation-Study

Frey, Rüdiger; Patie, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

hedging strategies by a nonlinear version of the Black-Scholes PDE. The core of the paper consists of a simulation study. We …

Persistent link: https://www.econbiz.de/10005859384

Robust Efficient Method of Moments

Ortelli, Claudio; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

b e implemented are presented. We then show by Monte Carlo simulation that our REMM estimators are very successful in …

Persistent link: https://www.econbiz.de/10005858309

Efficient Credit Risk Simulation byOptimal Mean-Reversion Adjustment

Schellhorn, Henry - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Two different probability measures are of importance when calculating the risk of a large portfolio: the risk-neutral measure for pricing, and the real measure to project true earnings. When using Monte Carlo, the natural method is to conduct two different simulations, one in each probability...

Persistent link: https://www.econbiz.de/10005858559

Robust GMM Tests for Structural Breaks

Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

.ciency of the new robust tests in some Monte Carlo simulation where we find that the performance of classical GMM tests is …

Persistent link: https://www.econbiz.de/10005858906