An Empirical Examination Of The Longstaff Schwartz Bond Option Valuation Model

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An Empirical Examination of the Longstaff-Schwartz Bond Option Valuation Model

Author : Marliese Uhrig-Homburg
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis An Empirical Examination of the Longstaff-Schwartz Bond Option Valuation Model by : Marliese Uhrig-Homburg

Download or read book An Empirical Examination of the Longstaff-Schwartz Bond Option Valuation Model written by Marliese Uhrig-Homburg and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the suitability of the Longstaff-Schwartz two-factor model for practical use. Discussion of issues related to the implementation of the model addresses the problem of fitting the model to the initial term structure of interest rates. To assess empirical performance, the Longstaff-Schwartz model is used to value German interest rate warrants for the four-year period 1990-1993. The data set includes options with longer maturities, which are of particular interest for testing bond option pricing models. A three-step procedure is used. In the first step, the current term structure of interest rates is estimated. In the second step, the constant parameters of the model are determined, and the model is calibrated to the initial yield curve. In the final step, the theoretical values of the interest rate warrants are computed and compared with their market prices. The empirical results indicate that the Longstaff-Schwartz two-factor model has considerable predictive ability, although parameter estimation turns out to be time- consuming.

Credit Risk: Modeling, Valuation and Hedging

Author : Tomasz R. Bielecki
Publisher : Springer Science & Business Media
ISBN 13 : 3662048213
Total Pages : 517 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Credit Risk: Modeling, Valuation and Hedging by : Tomasz R. Bielecki

Download or read book Credit Risk: Modeling, Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

An Empirical Examination of a Default-free Bond Pricing Model

Author : David Edward Weeks
Publisher :
ISBN 13 :
Total Pages : 332 pages
Book Rating : 4.:/5 (182 download)

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Book Synopsis An Empirical Examination of a Default-free Bond Pricing Model by : David Edward Weeks

Download or read book An Empirical Examination of a Default-free Bond Pricing Model written by David Edward Weeks and published by . This book was released on 1988 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:

An Empirical Examination of the Valuation of Convertible Bonds with a Numerical Solution of the Options Formula

Author : Jerry W. Humble
Publisher :
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.:/5 (371 download)

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Book Synopsis An Empirical Examination of the Valuation of Convertible Bonds with a Numerical Solution of the Options Formula by : Jerry W. Humble

Download or read book An Empirical Examination of the Valuation of Convertible Bonds with a Numerical Solution of the Options Formula written by Jerry W. Humble and published by . This book was released on 1978 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:

An Empirical Test of a Two-factor Mortgage Valuation Model

Author : Chris Downing
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis An Empirical Test of a Two-factor Mortgage Valuation Model by : Chris Downing

Download or read book An Empirical Test of a Two-factor Mortgage Valuation Model written by Chris Downing and published by . This book was released on 2003 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Understanding And Managing Interest Rate Risks

Author : Ren-raw Chen
Publisher : World Scientific
ISBN 13 : 9814498629
Total Pages : 173 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Understanding And Managing Interest Rate Risks by : Ren-raw Chen

Download or read book Understanding And Managing Interest Rate Risks written by Ren-raw Chen and published by World Scientific. This book was released on 1996-10-04 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is a systematic summary of modern term structure theories and how interest rate contingent claims are priced under such theories. This is the first book on such an attempt. The book reviews important term structure models and chooses one model to consistantly demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also provides a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.

Structural Models of Corporate Bond Pricing

Author : Young Ho Eom
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (548 download)

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Book Synopsis Structural Models of Corporate Bond Pricing by : Young Ho Eom

Download or read book Structural Models of Corporate Bond Pricing written by Young Ho Eom and published by . This book was released on 2003 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

An Empirical Test of the Brennan-Schwartz Bond Pricing Model in the Australian Context

Author : Carl Chiarella
Publisher :
ISBN 13 : 9780947069728
Total Pages : 64 pages
Book Rating : 4.0/5 (697 download)

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Book Synopsis An Empirical Test of the Brennan-Schwartz Bond Pricing Model in the Australian Context by : Carl Chiarella

Download or read book An Empirical Test of the Brennan-Schwartz Bond Pricing Model in the Australian Context written by Carl Chiarella and published by . This book was released on 1988 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of the Economics of Finance

Author : G. Constantinides
Publisher : Elsevier
ISBN 13 : 9780444513632
Total Pages : 698 pages
Book Rating : 4.5/5 (136 download)

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Book Synopsis Handbook of the Economics of Finance by : G. Constantinides

Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.

An Empirical Analysis of Stock Option Valuation Methodologies in Closely Held U S Corporations

Author : Mike Fred Balm
Publisher : Universal-Publishers
ISBN 13 : 1599427192
Total Pages : 126 pages
Book Rating : 4.5/5 (994 download)

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Book Synopsis An Empirical Analysis of Stock Option Valuation Methodologies in Closely Held U S Corporations by : Mike Fred Balm

Download or read book An Empirical Analysis of Stock Option Valuation Methodologies in Closely Held U S Corporations written by Mike Fred Balm and published by Universal-Publishers. This book was released on 2009-05 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: The introduction of fair value accounting for stock options has required private companies to apply stock option valuation methodologies that were designed to be applied to their public counterparts. The two recommended methodologies, the Black-Scholes formula and the Binomial Lattice model, require the valuator to provide an input for estimated volatility; for private companies that do not have a trading history there is limited guidance regarding the determination of volatility, which results in diverging and incorrect estimates. Based on a sample representing 178 companies who filed and completed an IPO in 2006, this study analyzed the accuracy of the recommended valuation methodologies when applied to closely held US corporations. The study outlines the importance of volatility to the value of the options and proceeds to document, by comparing the private (pre-IPO) and public (post-IPO) data, that in 51% of the cases the volatility was either over- or under-stated by more than 10%. In addition, the study shows a bias towards overstatement in the less than 10% variance group. The study further demonstrates that a marginal change in volatility has a significant impact on the company's total stock-based compensation expense and consequently misstates earnings.

Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates

Author : Sebastian Paik
Publisher : University of Bamberg Press
ISBN 13 : 3863091787
Total Pages : 365 pages
Book Rating : 4.8/5 (63 download)

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Book Synopsis Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates by : Sebastian Paik

Download or read book Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates written by Sebastian Paik and published by University of Bamberg Press. This book was released on 2014 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Pricing of Bond Options

Author : Detlef Repplinger
Publisher : Springer Science & Business Media
ISBN 13 : 3540707298
Total Pages : 141 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Pricing of Bond Options by : Detlef Repplinger

Download or read book Pricing of Bond Options written by Detlef Repplinger and published by Springer Science & Business Media. This book was released on 2008-08-15 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as Random Field (RF) models are used to model the dynamics of entire yield curves. The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by running a Fractional Fourier Transform or by applying the Integrated Edgeworth Expansion approach. The latter is a new extension of a generalized series expansion of the (log) characteristic function, especially adapted for the computation of exercise probabilities.

An Empirical Test of an Option Pricing Model with Stochastic Dividend Yield

Author : Ashok N. Vasvani
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (843 download)

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Book Synopsis An Empirical Test of an Option Pricing Model with Stochastic Dividend Yield by : Ashok N. Vasvani

Download or read book An Empirical Test of an Option Pricing Model with Stochastic Dividend Yield written by Ashok N. Vasvani and published by . This book was released on 1976 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Pricing Derivative Credit Risk

Author : Manuel Ammann
Publisher : Springer Science & Business Media
ISBN 13 : 3662223309
Total Pages : 238 pages
Book Rating : 4.6/5 (622 download)

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Book Synopsis Pricing Derivative Credit Risk by : Manuel Ammann

Download or read book Pricing Derivative Credit Risk written by Manuel Ammann and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues generally promise investors a higher yield. The same principle also applies to financial derivatives. Otherwise identical derivative securities will likely have differ ent prices if the counterparties are not of the same credit quality. Although this argument seems intuitively convincing, widely used pricing models for financial derivatives do not incorporate credit risk effects. This research monograph analyzes the effect of credit risk on financial derivatives prices. Credit risk can affect derivatives prices in a variety of ways. First, financial derivatives can be subject to counterparty default risk. Second, a derivative can be written on a security which is subject to credit risk, such as a corporate bond. Third, the credit risk itself can be the un derlying of a derivative instrument. The text focuses on valuation models which take into account counterparty risk but also addresses the other two valuation problems.

Credit Risk Valuation

Author : Manuel Ammann
Publisher : Springer Science & Business Media
ISBN 13 : 3662064251
Total Pages : 259 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Credit Risk Valuation by : Manuel Ammann

Download or read book Credit Risk Valuation written by Manuel Ammann and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Financial Risk and Derivatives

Author : Henri Loubergé
Publisher : Springer Science & Business Media
ISBN 13 : 9400918267
Total Pages : 139 pages
Book Rating : 4.4/5 (9 download)

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Book Synopsis Financial Risk and Derivatives by : Henri Loubergé

Download or read book Financial Risk and Derivatives written by Henri Loubergé and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk and Derivatives provides an excellent illustration of the links that have developed in recent years between the theory of finance on one hand and insurance economics and actuarial science on the other. Advances in contingent claims analysis and developments in the academic and practical literature dealing with the management of financial risks reflect the close relationships between insurance and innovations in finance. The book represents an overview of the present state of the art in theoretical research dealing with financial issues of significance for insurance science. It will hopefully provide an impetus to further developments in applied insurance research.