Showing 1 - 5 of 5
The persistence of financial instability calls into question the adequacy of the current regulatory regime. Acritical review of the three pillars at the core of current financial regulation exposes some structural flaws.[...]
Persistent link: https://www.econbiz.de/10005868715
We want to assess the relationship between the equity and the debt cost of capital. Using a verysimple dividend discount model we compute the implied discount rate and we compare it with thecorresponding premium on the corporate credit default swap using a cointegration approach. Wedemonstrated...
Persistent link: https://www.econbiz.de/10009486976
We provide a new method to derive the state price density per unit probabilitybased on option prices and GARCH model. We derive the risk neutraldistribution using the result in Breeden and Litzenberger (1978) and thehistorical density adapting the GARCH model of Barone-Adesi, Engle, andMancini...
Persistent link: https://www.econbiz.de/10009522186
We study the influence of systematic probability misestimation on complexfinancial investment decisions on the context of structured financialproducts. Structured products have in recent years become more and morecomplex. We study the question whether this complexity might be a...
Persistent link: https://www.econbiz.de/10005868835
Evolutionary nance studies the dynamic interaction of investment strategies in nancialmarkets. This market interaction generates a stochastic wealth dynamics on aheterogenous population of traders through the uctuation of asset prices and theirrandom payos. Asset prices are endogenously...
Persistent link: https://www.econbiz.de/10005869072