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Hedging costs and joint determinants of premiums and spreads in structured financial products

Entrop, Oliver; Fischer, Georg - 2019

This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...

Persistent link: https://www.econbiz.de/10011961047

Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options

Féron, Olivier; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2012

developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of compound …

Persistent link: https://www.econbiz.de/10010861561

Autoregressive multifactor APT model for U.S. Equity Markets

Malhotra, Karan - Volkswirtschaftliche Fakultät, … - 2010

Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate …

Persistent link: https://www.econbiz.de/10008564504

Sovereign Risk and the Pricing of Corporate Credit Default Swaps

Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - School of Finance, Universität St. Gallen - 2014

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of … corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact in …

Persistent link: https://www.econbiz.de/10011213799

Sovereign risk and the pricing of corporate credit default swaps

Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - 2014

Persistent link: https://www.econbiz.de/10011343850

Hedging costs and joint determinants of premiums and spreads in structured financial products

Entrop, Oliver; Fischer, Georg - 2019

Persistent link: https://www.econbiz.de/10011960799

DeepPricing : pricing convertible bonds based on financial time-series generative adversarial networks

Tan, Xiaoyu; Zhang, Zili; Zhao, Xuejun; Wang, Shuyi - In: Financial innovation : FIN 8 (2022), pp. 1-38

-driven convertible bonds pricing model, which is inspired by the recent success of generative adversarial networks (GAN), to address the … model has a better convertible bonds pricing performance than both model-driven models, i.e. Black-Scholes, the constant …

Persistent link: https://www.econbiz.de/10013272634

Pricing with confidence : 10 ways to stop leaving money on the table

Holden, Reed K.; Burton, Mark R. - 2008

Persistent link: https://www.econbiz.de/10004901202

Pricing strategies for small business

Gregson, Andrew - 2008 - 1. ed.

Persistent link: https://www.econbiz.de/10004908025

The designer's guide to marketing and pricing : how to win clients and what to charge them

Benun, Ilise; Red Top - 2008

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