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Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
We derive an explicit formula for the price-dividend ratio of a generalized version of Abel’s asset pricing model. This model is generalized in two...
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What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
This paper gives examples of explicit arbitrage-free term structure models with Lévy jumps via the state price density approach. By generalizing...
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On the positive fundamental value of money with short-sale constraints
This paper is concerned with the pricing of money in a framework with restrictions on trading, under an extension of the standard-asset pricing...
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Modelling jumps in electricity prices: theory and empirical evidence
Objective of this paper is to enhance the understanding of modelling jumps and to analyse the model risk based on the jump component in electricity...
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Duration, factor sensitivities, and interest rate Greeks
In this paper, we introduce for interest rate sensitive assets the natural analogs of delta and gamma for equity options by considering the...
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Maximum likelihood estimation of the double exponential jump-diffusion process
The double exponential jump-diffusion (DEJD) model, recently proposed by Kou (Manage Sci 48(8), 1086–1101, 2002) and Ramezani and Zeng...
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Financial stability and Basel II
The Basel II Advanced Internal Ratings (AIRB) approach is compared to capital requirements set using an equilibrium structural credit risk model....
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Determinants of S&P 500 index option returns
We analyze common factors that affect returns on S&P 500 index options and find that 93% of the variation in option returns can be explained by three...
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Modelling return and conditional volatility exposures in global stock markets
This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return...
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Correlation and the pricing of risks
Given a pricing kernel we investigate the class of risks that are not priced by this kernel. Risks are random payoffs written on underlying...
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Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange
In this paper, we propose a discrete version of the short-term and long-term component model of the agricultural futures prices. The maximum...
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Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor
In this paper a multi-factor generalization of Ho–Lee model is proposed. In sharp contrast to the classical Ho–Lee, this generalization allows for...
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PD-Validation — Experience from Banking Practice
In this chapter we dealt with validation of rating systems, constructed to forecast a 1-year probability of default. Hereby, we focused on...
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The Market for New Issues: Impact of Offering Price on Price Support and Underpricing
Previous studies have shown that the pattern of first day returns to initialpublic offerings is consistent with the hypotheses of underpricing and...
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Momentum profits following bull and bear markets
This paper examines the profitability that the widely published momentum strategy achieves following bull and bear markets. Investors can gain...
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The GARCH Option Pricing Model: A Modification of Lattice Approach
Ritchken and Trevor (1999) proposed a lattice approach for pricing American options under discrete time-varying volatility GARCH frameworks. Even...
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Macroeconomic Conditions, Firm Characteristics, and Credit Spreads
We study a structural model that allows us to examine how credit spreads are affected by the interaction of macroeconomic conditions and firm...
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Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model
The paper develops a general discrete-time framework for asset pricing and hedging in financial markets with proportional transaction costs and...
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The implied liquidity premium for equities
Over the long term, the returns on smaller stocks are likely to be higher than the returns on larger stocks. This phenomenon has been called size...