Results 21 to 30 of about 5,889 (311)
INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES [PDF]
International Journal of Theoretical and Applied Finance, 2011 We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold.
Caroline Hillairet, Ying Jiao
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Forecast Based Pricing of Weather Derivatives [PDF]
SSRN Electronic Journal, 2012 Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR) are often not incorporated.
Wolfgang Karl Härdle +2 more
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LIBOR Fallback and Quantitative Finance
Risks, 2019 With the expected discontinuation of the LIBOR publication, a robust fallback for related financial instruments is paramount. In recent months, several consultations have taken place on the subject.
Marc Pierre Henrard
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Taylor expansion for derivative securities pricing as a precondition for strategic market decisions [PDF]
Problems and Perspectives in Management, 2018 The strategy of managing the pricing processes, in particular managing the dynamics of the price of the underlying asset and its volatility, the prices of indices, shares, options, the magnitude of financial flows, in the method of calculating the ...
Ivan Burtnyak, Anna Malytska
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Will and power: Investment diversification and systemic deviation from irrational risk
Cogent Economics & Finance, 2022 Examining China’s stock market, mean variance is used to measure returns and risk and build an irrational risk-asset pricing model. The power of heterogeneous beliefs and risk-valuation deviation are found to affect capital asset pricing, presenting ...
Yaping Liu
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Indifference Pricing of Weather Derivatives
American Journal of Agricultural Economics, 2008 AbstractWeather derivatives are difficult to price due to the nontradability of weather and the absence of liquid secondary markets for these contracts. We use the concept of indifference pricing to develop a model for calculating the willingness to pay for weather insurance.
Xu, Wei +2 more
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Density forecasting for weather derivative pricing [PDF]
International Journal of Forecasting, 2006 Weather derivatives enable energy companies to protect themselves against weather risk. Weather ensemble predictions are generated from atmospheric models and consist of multiple future scenarios for a weather variable. They can be used to forecast the density of the payoff from a weather derivative.
Taylor J, Buizza R
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A new credit derivatives pricing model under uncertainty process
Systems Science & Control Engineering, 2018 Due to many uncertainties in the financial market, the pricing process of credit derivatives has not only the characteristic of randomness but also nonrandom uncertainties. Thus, the absence of uncertain factors will make the pricing model and the actual
Liang Wu, Ya-ming Zhuang
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Pricing Catastrophe Insurance Derivatives [PDF]
SSRN Electronic Journal, 2002 We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a compound Poisson process we give a representation of no-arbitrage price processes using Fourier analysis. This characterization enables us to derive the inverse Fourier transform of prices in closed form
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Pricing Rainfall Derivatives at the CME [PDF]
, 2013 Many business people such as farmers and financial investors are affected by indirect losses caused by scarce or abundant rainfall. Because of the high potential of insuring rainfall risk, the Chicago Mercantile Exchange (CME) began trading rainfall derivatives in 2011.
Brenda López Cabrera +2 more
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