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Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
Xiao, Tim - 2019
The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default...
Persistent link: https://www.econbiz.de/10015264145
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Pricing Interest Rate Swap Subject to Bilateral Counterparty Risk
Xiao, Tim - 2019
This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk …
Persistent link: https://www.econbiz.de/10015264199
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Pricing Cancellation Product
Lee, David - 2022
evens. The model can price generic cancellation derivatives accurately. It is very useful for derivatives trading and risk …
Persistent link: https://www.econbiz.de/10015268372
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A New Factor to Explain Implied Volatility Smirk
fajardo, José - 2016
In this paper we find empirical evidence of a new smirk factor, obtained from the jump structure of the risk neutral …
Persistent link: https://www.econbiz.de/10015252135
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Power Style Contracts Under Asymmetric Lévy Processes
Fajardo, José - 2016
In this paper we present new pricing formulas for some Power style contracts of European type when the underlying process is driven by an important class of L´evy processes, which includes CGMY model, generalized hyperbolic Model and Meixner Model, when no symmetry properties are assumed,...
Persistent link: https://www.econbiz.de/10015252137
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A Theory of Dichotomous Valuation with Applications to Variable Selection
Hu, Xingwei - 2017
An econometric or statistical model may undergo a marginal gain when a new variable is admitted, and marginal loss if an existing variable is removed. The value of a variable to the model is quantified by its expected marginal gain and marginal loss. Under a prior belief that all candidate...
Persistent link: https://www.econbiz.de/10015256958
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Kerangka Kerja Ekonofisika dalam Basel II
Situngkir, Hokky; Surya, Yohanes - 2006
risk management: the market risk, credit risk, and operational risk. …
Persistent link: https://www.econbiz.de/10015261879
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A Note on an Alternative Approach to Experimental Design of Lottery Prospects
Balcombe, Kelvin; Fraser, Iain - 2024
e introduce an alternative approach to lottery prospects experimental design aimed at collecting experimental data for parametric estimation of the cumulative form of Prospect Theory (PT). Our approach incorporates two fundamental principles: ensuring that all tasks provide valuable information...
Persistent link: https://www.econbiz.de/10015212943
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Measuring Risk Structures of Assets: P-index and C-index
Chang, Kuo-Ping - 2023
Risk can be defined as the likelihood that you can deliver your promise. This paper has used the European put option … and the European call option to construct the p-index and c-index to measure the risk levels (likelihoods) of owning or ….e., higher risk for owning the assets; and (2) assets having higher up move have higher c-index, i.e., higher risk for …
Persistent link: https://www.econbiz.de/10015214429
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Stochastic Calculus and the Black-Scholes-Merton Model: A Simplified Approach
Chang, Kuo-Ping - 2024
-Scholes-Merton option pricing formula require that risk-free interest rate be a linear function of underlying asset’s expected rate of … return (alpha) and variance of return, or (as in the literature) risk-free interest rate equal underlying asset's alpha. …
Persistent link: https://www.econbiz.de/10015214430