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Pricing Foreign Currency and Cross-Currency Options Under GARCH.

Wei, J.Z.; Duan, J.C. - Rotman School of Management, University of Toronto - 1999

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and …

Persistent link: https://www.econbiz.de/10005664007

Empirical Tests of an Option Price Inversion Approach.

McIntyre, M. - Rotman School of Management, University of Toronto - 1999

This paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.

Persistent link: https://www.econbiz.de/10005631243

Asset Price Behavior in Complex Environments.

Brock, W.A. - Wisconsin Madison - Social Systems - 1996

We startd out this paper with a list of Facts that financial theorizing should attempt to explain. We discussed the Facts in enough detail so that the reader can appreciate the caution one needs to display while interpreting evidence form financial databases.

Persistent link: https://www.econbiz.de/10005795237

Empirical Assessment of an Intertemporal option Pricing Model with Latent variables.

Garcia, R.; Luger, R.; Renault, E. - Centre Interuniversitaire de Recherche en Économie … - 2001

This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized …

Persistent link: https://www.econbiz.de/10005346028

Loan Pricing: Thinking Collateral

Akgün, Aydin; Vanini, Paolo - National Centre of Competence in ResearchFinancial … - 2009

We introduce a framework for analyzing the interplay between credit risk and collateralmarket risk on loan pricing. To …. The framework allows usto develop semi-analytical pricing formulae for loans where the borrower's creditworthinessand …

Persistent link: https://www.econbiz.de/10005868725

Strategic Trading Behavior and Price Distortion in a Manipulated Market: Anatomy of a Squeeze

Merrick, John J. Jr.; Naik, Narayan Y.; Yadav, Pradeep K. - 2004

In diesem Papier wird das Handelsverhalten großer Marktteilnehmer während des Versuchs einer künstlich erzeugten Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future-Transaktionen von Händlern und Kunden untersuchen...

Persistent link: https://www.econbiz.de/10005854242

Fiancial Innovation, Structuring and Risk Transfer

Vanini, Paolo - Volkswirtschaftliche Fakultät, … - 2012

Cycle, Pricing and Hedging Discount Factors and No Arbitrage Investment: Rule Bases, Alpha, Beta, View and Trade, Fund …, Green Banking, Demographic Risk Financial Crisis: Overview Leverage, Systemic Risk, Securitization, Pricing …

Persistent link: https://www.econbiz.de/10011109326

Approximating the Asset Pricing Kernel.

Chapman, D.A. - William E. Simon Graduate School of Business … - 1996

This paper suggests a general approach to testing dynamic models by approximating the true asset pricing kernel …

Persistent link: https://www.econbiz.de/10005646719

Letent Variable Models for Stochastic Discount Factors.

Garcia, R.; Renault, E. - Centre Interuniversitaire de Recherche en Économie … - 2000

In this paper, we provided a unifying analysis of latent variable models in finance through the concept of stochastic discount factor (SDF).

Persistent link: https://www.econbiz.de/10005353040

Three-Benchmarked Risk Minimization for Jump Diffusion Markets

Du, Ke; Platen, Eckhard - Finance Discipline Group, Business School - 2011

benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims. …

Persistent link: https://www.econbiz.de/10009357762