Showing 1 - 10 of 10
Cross currency swaps are powerful instruments to transfer assets or liabilities from one currency into another. The market charges for this a liquidity premium, the cross currency basis spread, which should be taken into account by the valuation methodology. We describe and compare two valuation...
Persistent link: https://www.econbiz.de/10011293212
The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models,...
Persistent link: https://www.econbiz.de/10011293916
The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...
Persistent link: https://www.econbiz.de/10011293918
We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In …
Persistent link: https://www.econbiz.de/10011293920
for exotic options with payoffs depending on finitely many spot values such as fader options and discretely monitored … barrier options. We compare our result with different numerical methods and examine accuracy and computational times. …
Persistent link: https://www.econbiz.de/10011293921
Bei der Altersvorsorge von Privatanlegern ergibt sich in der derzeitigen Marktsituation die Frage nach der Einführung von Anlageprodukten mit Garantien. Garantien können sich auf das Kapital oder auf eine Mindestrendite beziehen. Produktvarianten können Fonds oder Zertifikate sein. Aus Furcht...
Persistent link: https://www.econbiz.de/10011293930
We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS) based on a model for the joint dynamics of the fair CDS spreads. In the situation of the market flow of information being a pure jump filtration, we present an extremely...
Persistent link: https://www.econbiz.de/10011293931
This paper compares the performance of three methods for pricing vanilla options in models with known characteristic …
Persistent link: https://www.econbiz.de/10011293932
often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the … problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different strikes …
Persistent link: https://www.econbiz.de/10011293935
Das Geschäft mit Derivaten und strukturierten Finanzprodukten ist verstärkter Kritik ausgesetzt. Ziel des Aufsatzes ist die kritische Auseinandersetzung mit den Thesen der Kritiker und der Rolle der Bank bei den genannten Geschäften. -- Derivate ; strukturierte Produkte ; Bewertung ;...
Persistent link: https://www.econbiz.de/10009533397