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geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical … probabilities in relation to the return process; an equivalent to Claude Shannon's famous information flow formula; the (here so …
Persistent link: https://www.econbiz.de/10015260519
Implied volatility (IV) forecasting is inherently challenging due to its high dimensionality across various moneyness and maturity, and nonlinearity in both spatial and temporal aspects. We utilize implied volatility surfaces (IVS) to represent comprehensive spatial dependence and model the...
Persistent link: https://www.econbiz.de/10015270901
This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward...
Persistent link: https://www.econbiz.de/10015259815
This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for collateral arrangements adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding...
Persistent link: https://www.econbiz.de/10015260523
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, convertible bonds. In contrast to previous studies, the model relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually inaccessible....
Persistent link: https://www.econbiz.de/10015260605
This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most...
Persistent link: https://www.econbiz.de/10015264388
This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward...
Persistent link: https://www.econbiz.de/10015264465
This article describes a valuation framework to build most common kinds of cancellation schedules and cancellation evens. The model can price generic cancellation derivatives accurately. It is very useful for derivatives trading and risk management.
Persistent link: https://www.econbiz.de/10015268372
This article develops a new framework for modeling the dynamics of commodity forward curves and pricing commodity derivatives. The model accommodates a generic calibration procedure to ensure that the model prices for vanilla options match exactly the market prices. Empirically we show that the...
Persistent link: https://www.econbiz.de/10015268443
Credit valuation adjustment has acquired a great deal of attention from both theoreticians and practitioners in recent years. This paper presents a model for default forecasting and credit valuation adjustment. The model links distance-to-default, default probability, survival probability,...
Persistent link: https://www.econbiz.de/10015270706