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Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Persistent link: https://www.econbiz.de/10011293918

Three essays on forecasting and information acquisition in finance

Putintseva, Maria - 2013

Persistent link: https://www.econbiz.de/10010233956

A critique of the literature on the US financial debt crisis

Stein, Jerome L. - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Persistent link: https://www.econbiz.de/10003936616

Essays on the interaction of option and equity markets

Feser, Alexander - 2020

priced differently depending on whether it is based on options with strikes close to the current price of the underlying or … far-out-of-the-money options. The findings provide novel insights in the joint interaction between option and equity …Wie interagieren Options und Aktienmärkte miteinander? Die vorliegende Dissertation beantwortet diese Frage aus drei …

Persistent link: https://www.econbiz.de/10012213830

Moment risk premiums in option markets : on measurement, structure, and investment implications

Dörries, Julian - 2021

Rationale Anleger sind im Allgemeinen risikoavers. Eine wichtige Implikation dieser Risikoaversion ist, dass Anleger für bestimmte Risiken, die sie eingehen, eine Kompensation verlangen – Risikoprämien. Ein Beispiel für solche Risikoprämien sind Momentenrisikoprämien. Sie sind definiert...

Persistent link: https://www.econbiz.de/10012816290