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An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - Faculteit der Economische Wetenschappen, Erasmus … - 2002

Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...

Persistent link: https://www.econbiz.de/10010731658

Efficient Rank Reduction of Correlation Matrices

Pietersz, Raoul; Grubisic, Grubisic, I. - Erasmus Research Institute of Management (ERIM), … - 2005

Geometric optimisation algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show, in numerical tests, that our methods compare favourably to the existing methods in the literature. The connection with the Lagrange multiplier method is established, along with...

Persistent link: https://www.econbiz.de/10010734981

An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - Erasmus Research Institute of Management (ERIM), … - 2002

Persistent link: https://www.econbiz.de/10010837529

Hedging Exposure to Electricity Price Risk in a Value at Risk Framework

Mahieu, Ronald; Huisman, Huisman, R.; Schlichter, … - Erasmus Research Institute of Management (ERIM), … - 2007

This paper deals with the question how an electricity end-consumer or distribution company should structure its portfolio with energy forward contracts. This paper introduces a one period framework to determine optimal positions in peak and off-peak contracts in order to purchase future...

Persistent link: https://www.econbiz.de/10010837583

Fund liquidation, self-selection and look-ahead bias in the hedge fund industry

Verbeek, Marno; ter Horst, ter Horst, J.R. - Erasmus Research Institute of Management (ERIM), … - 2004

A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data...

Persistent link: https://www.econbiz.de/10010837672

Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order

Schlögl, Erik - In: Journal of Economic Dynamics and Control 37 (2013) 3, pp. 611-632

the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …

Persistent link: https://www.econbiz.de/10011051905

Distributions implicites anormales des taux de change.

Frachot, A.; Laurent, J.P.; Pichot, O. - 1999

Nous examinons l'information contenue dans un ensemble de prix d'options europeennes de change USD/DEM de dates et de … prix d'exercice differents. Nous rappelons le lien entre fonctions de prix d'etat et prix d'options europeennes ainsi que … les principes d'estimation de fonctions de prix d'etat a partir d'un ensemble de prix observes d'options. …

Persistent link: https://www.econbiz.de/10005780825

Estimating Gram-Charlier Expansions with Positivity Constraints.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

Gram-Charlier expansions allow for a certain flexibility over skewness and kurtosis they have the unfortunate drawback of …

Persistent link: https://www.econbiz.de/10005487055

Estimating Gram-Charlier Expansions with Positivity Constraints.

Jondeau, E.; Rockinger, M. - Banque de France - 1998

The Gram-Charlier expansion, where skewness and kurtosi directly appear as parameters, has become popular in Finance as …

Persistent link: https://www.econbiz.de/10005036204

Geographical Diversification with a World Volatility Index

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2015

This paper proposes a new ‘World Volatility Index’, coined WVIX, by constructing the first index that approximates the aggregate volatility level of the G20 countries. The empirical analysis makes use of the factor dynamic conditional correlation model – with an automated methodology to...

Persistent link: https://www.econbiz.de/10011212043