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Intensity of default in sovereign bonds: Estimation of an unobservable process

Otero, Karina V. - 2016

This paper proposes a new approach to estimate general stationary diﬀusion processes that describe the evolution of unobserved arrival rates of credit events on sovereign bonds, allowing for arbitrary parametric drift and diﬀusion speciﬁcations. The solutions and transition processes for...

Persistent link: https://www.econbiz.de/10015260419

The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment

Xiao, Tim - 2019

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

Pricing Cancellation Product

Lee, David - 2022

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

Generic Price Model for Commodity Derivatives

Lee, David - 2022

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

A Nonparametric Option Pricing Model Using Higher Moments

Cayton, Peter Julian - 2015

A nonparametric model that includes non-Gaussian characteristics of skewness and kurtosis is proposed based on the cubic market capital asset pricing model. It is an equilibrium pricing model but risk-neutral valuation can be introduced through return data transformation. The model complies with...

Persistent link: https://www.econbiz.de/10015247274

A Nonparametric Option Pricing Model Using Higher Moments

Cayton, Peter Julian; Ho, Kin-Yip - 2015

Persistent link: https://www.econbiz.de/10015256083

Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis

Hernández, Juan R. - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10015212259

On the Stationarity of Futures Hedge Ratios

Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - 2020

Stationarity of hedge ratios can be viewed as a first step for portfolio hedging since it represents that the sensitivity of spot and futures returns follow a process whose main characteristics do not depend on time. However, we provide evidence that the hedge ratios of the main European stock...

Persistent link: https://www.econbiz.de/10015218391

Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach

Chen, Ying; Grith, Maria; Lai, Hannah L. H. - 2023

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 … economic value of having an accurate implied volatility forecaster within trading strategies. Notably, short delta …

Persistent link: https://www.econbiz.de/10015270901

Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market

P., Srinivasan - 2011

The present paper examines the price discovery process and volatility spillovers in Indian spot-futures commodity … volatility spillover persists, the volatility spillovers from spot to the futures market are dominant in case of all MCX …

Persistent link: https://www.econbiz.de/10015237322