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Obtaining Analytic Derivatives for a Class of Discrete-Choice Dynamic Programming Models
Analytic Derivatives Discrete-Choice Dynamic Programming Models
2015/9/18
This paper shows how to recursively calculate analytic first and second derivatives of the likelihood function generated by a popular version of a discrete-choice, dynamic programming model, allowing ...
Risk minimizing of derivatives via dynamic g-expectation and related topics
dynamicg-expectation risk minimization problem risk indifferent price mar-ket price of risk risk aversion parameter.
2012/9/14
In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamicg-expectations which are slight different from conditionalg-expectations. In...
Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
interest rate bonds recovery rate survival probability hazard rate function yield to maturity CMS CMT
2012/4/28
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (...
On break-even correlation: the way to price structured credit derivatives by replication
CDO replication Gaussian Copula structural models
2012/4/28
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consis...
Credit Derivatives and their Applicability to the Turkish Banking Sector
collateralised debt obligation credit default swap Credit derivatives credit linked note credit spread option
2011/9/2
Credit derivatives are financial contracts that offer protection against credit risk of bonds or loans. The most common forms of credit derivatives are credit default swaps, total return swaps, credit...
Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox
Risk neutral martingale derivatives efficient market bubble
2011/7/4
This paper highlights the role of risk neutral investors in generating endogenous bubbles
in derivatives markets.We propose the following theorem. A market for derivatives, which has all the
feature...
The recent crisis and the following flight to simplicity put most derivative businesses
around the world under considerable pressure. We argue that the traditional mod-
eling techniques must be exte...
Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
crisis liquidity credit counterparty risk fixed income Libor Euribor Eonia yield curve forward curve, discount curve, single curve, multiple curve volatility surface collateral CSA discounting no arbitrage pricing interest rate derivatives FRAs swaps OIS basis swaps caps floors SABR
2011/3/30
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evide...
Arora, Barak, Brunnermeier, and Ge showed that taking computational complexity into account, a dishonest seller could increase the lemon costs of a family of financial derivatives dramatically. We sh...
Vanna-Volga methods applied to FX derivatives : from theory to market practice
Vanna-Volga methods FX derivatives
2010/10/29
We study Vanna-Volga methods which are used to price rst generation exotic options in the
Foreign Exchange market. They are based on a rescaling of the correction to the Black-Scholes
price through...
Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market
statistical mechanics self-regulation of stock market
2010/10/29
Mapping the economy to the some statistical physics models we get strong indications that, in
contrary to the pure stock market, the stock market with derivatives could not self-regulate.
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
liquidity crisis counterparty risk yield curve forward curve discount curve
2010/11/1
We revisit the problem of pricing and hedging plain vanilla single-currency in-terest rate derivatives using multiple distinct yield curves for market coherent esti-mation of discount factors and forw...
Use of Interest Rate Derivatives by U.S. Based Domestic and Global Bond Mutual Funds
Bond Mutual Funds Derivatives Use
2010/10/18
We investigate the use of interest rate derivatives by U.S. based domestic and global bond mutual funds. Using SEC filings and monthly return data, we document the use of derivatives across subcatego...
A Subjective and Probabilistic Approach to Derivatives
Subjective Probabilistic Approach Derivatives
2010/10/18
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular,...
A Dynamic Model for Credit Index Derivatives
Credit Risk CDO Option Dynamic Model Ane Model
2010/11/2
We present a new model for credit index derivatives, in the top-down approach. This model
has a dynamic loss intensity process with volatility and jumps and can include counterparty risk.It handles C...