motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae. …We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian …

derAuswirkungen makroökonomischer Schocks auf das Risiko von Kreditportfolios.Dazu wird analysiert, welchen Einfluß makroökonomische … default correlations is implemented. A Monte-Carlosimulation tool is used to examine how this 'correlation effect' varieswith …

-making under certainty and uncertainty. Topics include preference orderings, expected utility, risk, stochastic dominance …, supermodularity, monotone comparative statics, background risk, game theory, rationalizability, iterated strict dominance multi …, repeated games, and correlation. …

, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

that the company tend to face higher risk, as JPFA find itself with positif return 15.47% expected return. And companies … sensitive to market changes. It is recommended for further research to look on this CAPM method in analyzing the stock …

that the company tend to face higher risk, as JPFA find itself with positif return 15.47% expected return. And companies … sensitive to market changes. It is recommended for further research to look on this CAPM method in analyzing the stock …

This paper empirically examines the impact of oil price levels and volatility on key macroeconomic indicators of … Indonesia. In particular, two measures of volatility – historical volatility and realized volatility – are utilized and compared … for their different macroeconomic impacts. The relationships between oil price levels, the two volatility measurements …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market … participants, lock-in effect and risk diversification and also a comprehensive model with heterogeneous participants - investors …