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《Review of Derivatives Research》
Finance Economics Business
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2024/12/10
The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporation...
Effectiveness of weather derivatives as a hedge against the weather risk in agriculture
agriculture hedging effectiveness non-catastrophic weather risk weather derivatives
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2016/9/1
Weather affects the economies worldwide and all economic sectors are to some extent weather sensitive. Agriculture is traditionally highly weather sensitive. While the catastrophic impact of weather h...
Obtaining Analytic Derivatives for a Class of Discrete-Choice Dynamic Programming Models
Analytic Derivatives Discrete-Choice Dynamic Programming Models
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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.
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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...
New solvable stochastic volatility models for pricing volatility derivatives
New solvable stochastic volatility models pricing volatility derivatives Pricing of Securities
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2012/6/5
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the...
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
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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
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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...
Local Volatility Pricing Models for Long-dated FX Derivatives
Local volatility Stochastic volatility Foreign Exchange Stochastic interest rates Calibration
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2012/4/28
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We deriv...
Credit Derivatives and their Applicability to the Turkish Banking Sector
collateralised debt obligation credit default swap Credit derivatives credit linked note credit spread option
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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
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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...
Learning, investments and derivatives
Learning investments derivatives
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2011/7/4
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
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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...
Minimizing shortfall risk for multiple assets derivatives
shortfall risk multiple assets options correlated assets quantile hedging
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2011/3/23
The risk minimizing problem $\mathbf{E}[l((H-X_T^{x,\pi})^{+})]\overset{\pi}{\longrightarrow}\min$ in the Black-Scholes framework with correlation is studied. General formulas for the minimal risk fun...
Controlled options: derivatives with added flexibility
Controlled options derivatives added flexibility
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2011/1/4
The paper introduces a modification of the passport options such that the holder selects select dynamically a weight function that control the distribution of the payments (benefits) for option holder...
Pseudorandom Financial Derivatives
Pseudorandom Financial Derivatives
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2010/10/20
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...