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A note on Wick products and the fractional Black-Scholes model
Björk, Tomas; Hult, Henrik - 2005
In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...
Persistent link: https://www.econbiz.de/10010281205
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Spectral estimation of the fractional order of a Lévy process
Belomestny, Denis - 2009
We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...
Persistent link: https://www.econbiz.de/10010263764
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Multivariate Copula Models at Work: Outperforming the desert island copula?
Fischer, Matthias J.; Köck, Christian; Schlüter, Stephan - 2007
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas...
Persistent link: https://www.econbiz.de/10010299767
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Das Äquivalenzprinzip der Finanzmathematik
Walther, Ursula - 2002
Das Äquivalenzprinzip der Finanzmathematik vergleicht und bewertet Zahlungsströme. Dazu ist eine Bewertung von Zeit und … Darstellungsweise gibt einen einheitlichen formalen Rahmen. In der Finanzmathematik wird Zeit durch Verzinsung bewertet. Bei der … two approaches. The classical Bernoulli's rule rests on individual preferences while modern capital market theory offers a …
Persistent link: https://www.econbiz.de/10010305677
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On the Public Economics of Annuities with Differential Mortality
Bommier, Antoine; Leroux, Marie-Louise; Lozachmeur, … - 2010
This paper studies the problem of redistribution between individuals having different mortality rates. We use a continuous time model in which there are two types of individuals characterized by different survival probability paths. Individual preferences are represented by a generalized...
Persistent link: https://www.econbiz.de/10011753199
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A multiple factor model for European stocks
Stephan, Thomas G.; Maurer, Raimond; Dürr, Martin - 2000
We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly...
Persistent link: https://www.econbiz.de/10010316262
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Firm Investment and Financial Frictions
Baum, Christopher F.; Caglayan, Mustafa; Talavera, Oleksandr - 2006
intrinsic and extrinsic uncertainty are derived from firms? daily stock returns and S&P 500 index returns along with a CAPM …. Financial frictions captured by interactions between firms? cash flow and both intrinsic and CAPM-based measures of uncertainty …
Persistent link: https://www.econbiz.de/10010260990
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Conditionally parametric fits for CAPM betas
Abberger, Klaus - 2004
The CAPM model assumes stock returns to be a linear function of the market return. However, there is considerable …
Persistent link: https://www.econbiz.de/10010263422
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Selectivity, Market Timing and the Morningstar Star-Rating System
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2009
This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and...
Persistent link: https://www.econbiz.de/10010264584
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Selectivity, market timing and the Morningstar star-rating system
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2009
This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and...
Persistent link: https://www.econbiz.de/10010271130