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Dynamic utility-based good deal bounds
Kloppel, Susanne; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008
, viaduality, restrictions on pricing kernels and thereby gives tighter valuation boundson payoffs than absence of arbitrage alone … and global (conditional) pricing kernel restrictions for the temporally dynamicsetting. For the dynamic case, we show in a …
Persistent link: https://www.econbiz.de/10005857734
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Credit gap risk in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Centre for Practical Quantitative Finance <Frankfurt, Main> - 2009
The payoff of many credit derivatives depends on the level of credit spreads. Inparticular, credit derivatives with a leverage component are subject to gap risk, a riskassociated with the occurrence of jumps in the underlying credit default swaps. Inthe framework of first passage time models, we...
Persistent link: https://www.econbiz.de/10008695276
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Modellierung desKreditrisikos im Portfoliofall
Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance & Management - 2009
key focus of thisworking paper.Literature distinguishes between three different kinds of credit pricing models: Asset …
Persistent link: https://www.econbiz.de/10008695277
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Firm Migration and Stock Returns
Puopolo, Giovanni W. - Finrisk - 2009
This paper studies the asset pricing implications of a general equi-librium model in which real investment is …
Persistent link: https://www.econbiz.de/10009022140
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Asset Pricing with Matrix Jump Diffusions
Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …
Persistent link: https://www.econbiz.de/10009248844
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Price Impact and Portfolio Impact
Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2010
We study survival, price impact and portfolio impact in heterogeneouseconomies. We show that, under the equilibrium risk-neutral measure,long-run price impact is in fact equivalent to survival, whereas longrunportfolio impact is equivalent to survival under an agent-specic,wealth-forward...
Persistent link: https://www.econbiz.de/10009305110
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Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can...
Persistent link: https://www.econbiz.de/10009305112
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Three Solutions to the Pricing Kernel Puzzle
Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010
The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …
Persistent link: https://www.econbiz.de/10009305117
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Price discovery in government bond markets
Valseth, Siri - Universitetet <Stavanger> / School of Business … - 2011
This paper investigates the process of price discovery in government bond markets.By using a new data set including interdealer trades, customer trades, trade types anddealer identities, the paper explores the role of dealers in the price formation processand seeks to identify their sources of...
Persistent link: https://www.econbiz.de/10009305184
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What factors aect the Oslo Stock Exchange?
Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - Universitetet <Stavanger> / School of Business … - 2009
This paper analyzes return patterns and determinants at the Oslo Stock Ex-change (OSE) in the period 1980{2006. We nd that a three-factor model con-taining the market, a size factor and a liquidity factor provides a reasonable t forthe cross-section of Norwegian stock returns. As expected, oil...
Persistent link: https://www.econbiz.de/10009305197