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Essays On Asset Pricing And Derivatives
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Book Synopsis Essays on Asset Pricing and Derivatives by : Marc Crummenerl
Download or read book Essays on Asset Pricing and Derivatives written by Marc Crummenerl and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Asset Pricing and Volatility Derivatives by : Clemens Völkert
Download or read book Essays on Asset Pricing and Volatility Derivatives written by Clemens Völkert and published by . This book was released on 2012 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays on Asset Pricing by : Dan Luo
Download or read book Two Essays on Asset Pricing written by Dan Luo and published by . This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Two Essays on Asset Pricing" by Dan, Luo, 罗丹, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: This thesis centers around the pricing and risk-return tradeoff of credit and equity derivatives. The first essay studies the pricing in the CDS Index (CDX) tranche market, and whether these instruments have been reasonably priced and integrated within the financial market generally, both before and during the financial crisis. We first design a procedure to value CDO tranches using an intensity-based model which falls into the affine model class. The CDX tranche spreads are efficiently explained by a three-factor version of this model, before and during the crisis period. We then construct tradable CDX tranche portfolios, representing the three default intensity factors. These portfolios capture the same exposure as the S&P 500 index optionmarket, to a market crash. We regress these CDX factors against the underlying index, the volatility factor, and the smirk factor, extracted from the index option returns, and against the Fama-French market, size and book-to-market factors. We finally argue that the CDX spreads are integrated in the financial market, and their issuers have not made excess returns. The second essay explores the specifications of jumps for modeling stock price dynamics and cross-sectional option prices. We exploit a long sample of about 16 years of S&P500 returns and option prices for model estimation. We explicitly impose the time-series consistency when jointly fitting the return and option series. We specify a separate jump intensity process which affords a distinct source of uncertainty and persistence level from the volatility process. Our overall conclusion is that simultaneous jumps in return and volatility are helpful in fitting the return, volatility and jump intensity time series, while time-varying jump intensities improve the cross-section fit of the option prices. In the formulation with time-varying jump intensity, both the mean jump size and standard deviation of jump size premia are strengthened. Our MCMC approach to estimate the models is appropriate, because it has been found to be powerful by other authors, and it is suitable for dealing with jumps. To the best of our knowledge, our study provides the the most comprehensive application of the MCMC technique to option pricing in affine jump-diffusion models. DOI: 10.5353/th_b4819935 Subjects: Capital assets pricing model
Book Synopsis Essays on Asset Pricing, Investor Preferences, and Derivative Markets by : Joren Koëter
Download or read book Essays on Asset Pricing, Investor Preferences, and Derivative Markets written by Joren Koëter and published by . This book was released on 2021 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Derivatives by : Don M. Chance
Download or read book Essays in Derivatives written by Don M. Chance and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Book Synopsis Essays on Derivatives Pricing Theory by : Ronald C. Heynen
Download or read book Essays on Derivatives Pricing Theory written by Ronald C. Heynen and published by . This book was released on 1995 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Asset Pricing by : Aytek Malkhozov
Download or read book Essays in Asset Pricing written by Aytek Malkhozov and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Derivatives Pricing Anddynamic Asset Allocation by :
Download or read book Essays on Derivatives Pricing Anddynamic Asset Allocation written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Derivatives Pricing and Dynamic Asset Allocation by : Anders Bjerre Trolle
Download or read book Essays on Derivatives Pricing and Dynamic Asset Allocation written by Anders Bjerre Trolle and published by . This book was released on 2007 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays on Asset Pricing and Asset Choice by : James Eric Gunderson
Download or read book Two Essays on Asset Pricing and Asset Choice written by James Eric Gunderson and published by . This book was released on 2004 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Asset Pricing by : Ching Tai Watson
Download or read book Essays on Asset Pricing written by Ching Tai Watson and published by . This book was released on 2004 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Asset Pricing by : Yoon Kang Lee
Download or read book Three Essays in Asset Pricing written by Yoon Kang Lee and published by . This book was released on 2018 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three chapters that aim to understand how the interactions between various investors and instruments in financial markets are linked to asset prices.
Book Synopsis Essays on Asset Pricing and Downside Risk by : Bruno Cara Giovannetti
Download or read book Essays on Asset Pricing and Downside Risk written by Bruno Cara Giovannetti and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: These result are important not only to understand asset prices, but also the unconventional polices implemented by the Fed during the great recession of 2007-2010. Although data on margin requirements for the S&P 500 futures are publicly available, it is in general very hard to obtain information on margins for other assets. Given that, we also propose a nonparametric model for estimating margins as a function of the asset's value at risk. This is theoretically justifiable and has good empirical results.
Book Synopsis Essays on Asset Pricing by : Juan Carlos Rodriguez
Download or read book Essays on Asset Pricing written by Juan Carlos Rodriguez and published by . This book was released on 2002 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Capital Markets by : Jin G. Jung
Download or read book Essays on Capital Markets written by Jin G. Jung and published by . This book was released on 2000 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Asset Pricing and Corporate Finance by : Yu Wang
Download or read book Essays in Asset Pricing and Corporate Finance written by Yu Wang and published by . This book was released on 2001 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Asset Pricing and the Econometrics of Risk by : Bryan T. Kelly
Download or read book Essays in Asset Pricing and the Econometrics of Risk written by Bryan T. Kelly and published by . This book was released on 2010 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: