Showing 1 - 10 of 12
In some papers it have been remarked that derivation of the Black Scholes Equation (BSE) contains mathematical ambiguities. In particular there are two problems which can be raise by accepting Black Scholes (BS) pricing concept. One is technical derivation of the BSE and other the pricing...
Persistent link: https://www.econbiz.de/10013020357
Regulations of the market require disclosure of information about the nature and extent of risks arising from the trades of the market instruments. There are several significant drawbacks in fixed income pricing modeling. In this paper we interpret a corporate bond price as a random variable. In...
Persistent link: https://www.econbiz.de/10013024550
In this paper, we outline a randomization of the primary fixed income notions. We present a construction of some stochastic interest rate models. We also consider forward rates which are implied by stochastic bond prices. We highlight to major drawbacks of the commonly used stochastic models....
Persistent link: https://www.econbiz.de/10013118113
In these two papers, ‘Multiple Risky Securities Valuation I - II', we represented a simplified scheme of the CDO's tranches valuation. The main difference between our approach and benchmark is that we dealing with market cash flows in contrast to expected cash flows usually used for...
Persistent link: https://www.econbiz.de/10013118726
In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of a portfolio assets. Our approach close but it does...
Persistent link: https://www.econbiz.de/10013119585
This project represents a basic design of a multilateral FX market that synthetically connected to the modern bilateral FX market. The essence of the multilateral FX market is an introduction of the single rates generating by the multilateral FX structures. These single rates are single currency...
Persistent link: https://www.econbiz.de/10013101258
In this paper we focus on the concept of a discount rate. In [1] one expressed some concerns regarding the models that present randomization of the discount rate. This paper proposed a new approach to the construction of variable deterministic and stochastic interest rates. This approach is...
Persistent link: https://www.econbiz.de/10013081388
In this short notice we present critical comments on no-arbitrage principle. We show that no-arbitrage pricing is complete in a pricing theory which ignores market risk and is dealing with the deterministic implied price of instruments. There is a unique price of a derivative in deterministic...
Persistent link: https://www.econbiz.de/10013089168
In this paper we begin with details of the no arbitrage pricing scheme. It is common to call the pricing approach no arbitrage if it is impossible to receive a positive profit on a contract starting from zero investment at initiation date. We specify no arbitrage pricing by a) initiation and...
Persistent link: https://www.econbiz.de/10013055046
In this paper we discuss some popular notions of the fixed income pricing. We pay attention to formal side of the use such notions as discount factor and mark-to-market valuation of the risk free cross currency swap
Persistent link: https://www.econbiz.de/10013077073