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Optimal Investment in Variance Swaps Under Stochastic Volatility

Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006

, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …

Persistent link: https://www.econbiz.de/10005858375

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

Multiple Trees Subject to Event Risk

Porchia, Paolo; Trojani, Fabio - National Centre of Competence in ResearchFinancial … - 2009

We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the possibility that trees experience unexpected disasters. We exploit themarket clearing mechanism, in the presence of multiple positive net supply assets, to showthat the implications of...

Persistent link: https://www.econbiz.de/10005868703

Detecting Informed Trading Activities in the OptionsMarkets

Chesney, Marc; Crameri, Remo; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2009

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...

Persistent link: https://www.econbiz.de/10005868704

Correlation Risk and the Term Structureof Interest Rates

Buraschi, Andrea; Cieslak, Anna; Trojani, Fabio - Finrisk - 2008

We develop a new completely affine model of the term structure of interest rates, in which the statevariables evolve as a matrix-valued process of stochastically correlated factors. This setting grants a newelement of flexibility in the simultaneous modeling of stochastic volatilities and...

Persistent link: https://www.econbiz.de/10005868928

Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks

Brumen, Gorazd; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The paper investigates how buyer-supplier firm-specific relationships affect security prices. Starting from the empirical inconsistencies associated with some standard structural models we propose a structural model of firm dependence in a vertically connected network of firms based on cash flow...

Persistent link: https://www.econbiz.de/10005858385

Implied Volatility and Risk Aversion in A Simple Model with Uncertain Growth

Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied pricing kernel that is increasing for particular levels...

Persistent link: https://www.econbiz.de/10005858509

American Parisian Options

Chesney, Marc; Gauthier, Laurent - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the...

Persistent link: https://www.econbiz.de/10005858581

Libor Market Model with Regime-Switching Volatility

Elliott, Robert; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2004

This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the volatility is modelled by a square root process with a...

Persistent link: https://www.econbiz.de/10005858810

Multi-Currency Quadratic Models : Theory and Evidence

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

filter, to estimate a series of multi-currency quadratic models (MCQM) with LIBOR and swap rates from US and Japan and the …

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