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Default-Risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors

Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three … different types of risk, was obtained. Introducing the risk of systematic changes in the market liquidity added more risks. A … model of a market with heterogeneously informed investors, having access to discrete information ﬁltrations, was speciﬁed …

Persistent link: https://www.econbiz.de/10005858310

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

Leippold, Markus; Wiener, Zvi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

adjusted to the volatility structure. The proposed approach leads to an efficient and exible constron met for trinomial trees …

Persistent link: https://www.econbiz.de/10005858854

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

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

new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …

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

Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices

Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models …. the paper also explains how, with some assumptions on the distribution of puplic and private information, a model with …

Persistent link: https://www.econbiz.de/10005857785

Stock Options and Managers Incentives to cheat

Chesney, Marc; Gibson-Asne, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006

We develop a continuous-time real options pricing model to study managersincentives to cheat in the presence of equity-based compensation policies.We show that managers incentives to cheat are strongly inﬂuenced by theefﬁciency of the justice. Our models main result is that managers...

Persistent link: https://www.econbiz.de/10005857972

Theory and Calibration of Swap Market Models

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

This pap er intro duces a general framework for market mo dels, namedM arket M o del Approach, through the concept of admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by showing that a set is admissible if and only ifthe...

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

Modelling Dynamic Portfolio Credit Risk

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

In this paper we present a model to price and hedge basket credit derivatives andcollateralised loan obligation. Based upon the copula-approach by Schönbucher and Schubert (2001) the model allows a speciﬁcation of the joint dynamics of credit spreads and default intensities, including a...

Persistent link: https://www.econbiz.de/10005858551

Multi-Currency Quadratic Models : Theory and Evidence

Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

the movement of the term structure of either country. These independent currency risk factors account for the variation in …

Persistent link: https://www.econbiz.de/10005858853

Efficient Portfolios with Endogenous Liabilities

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We study the optimal policies and mean-variance frontiers (MVF) of a multiperiod mean-variance optimization of assets and liabilities (AL). Our model allows for a contemporaneous optimization of the balance-sheet as a whole. This makes the analysis more challenging than in a setting based on...

Persistent link: https://www.econbiz.de/10005858859

On the Forward-Futures Spread and Default Risk

Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We develop intuitive expressions for the spread between a forwardcontract and a similar futures contract taking into account the pos-sibility of counterparty default. We evaluate these expressions nu-merically and show that the forward-futures spread is signiﬁcant forrealistic parameter...

Persistent link: https://www.econbiz.de/10005858907