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Die Theorie der fairen geometrischen Rendite

Sonntag, Dominik - 2018

The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the … risk of risky assets. Instead, it claims that capital market volatility, in turn, constitutes the maximum achievable … volatility in G, is this volatility usable as part of a contrarian "buy low, sell high" strategy? If yes, how? In answer to these …

Persistent link: https://www.econbiz.de/10015260519

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

Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment

Lee, David - 2018

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

A New Model for Pricing Collateralized Financial Derivatives

Xiao, Tim - 2017

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

A Simple and Precise Method for Pricing Convertible Bond with Credit Risk

Xiao, Tim - 2014

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

Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization

Tim, Xiao - 2019

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

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

Xiao, Tim - 2019

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

Default Forecasting and Credit Valuation Adjustment

Lee, David - 2023

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