Results 41 to 50 of about 1,485,456 (149)
Pricing and Hedging Basis Risk under No Good Deal Assumption [PDF]
We consider the problem of pricing and hedging an option written on a non-exchangeable asset when trading in a correlated asset is possible. This is a typical case of incomplete market where it is well known that the super-replication concept provides ...
Laurence Carassus, Emmanuel Temam
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The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube
Journal of Economic Surveys, EarlyView.ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng +2 more
wiley +1 more source
HEDGING WITH FUTURES AND OPTIONS: A DEMAND SYSTEMS APPROACH [PDF]
The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is non-zero. Futures and options are treated as substitute goods, and properties of the resulting hedging demand
Frechette, Darren L.
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Longevity, Health, and Housing Risk Management in Retirement
The Journal of Finance, EarlyView.ABSTRACT Annuities, long‐term care insurance, and reverse mortgages remain puzzlingly unpopular to manage post‐retirement longevity, health, and housing price risks. We use a flexible life‐cycle model structurally estimated with a unique stated‐preference survey experiment of Canadian households to understand why. Key factors include high risk aversion,
PIERRE‐CARL MICHAUD, PASCAL ST‐AMOUR
wiley +1 more source
Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts [PDF]
In this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurrng when the velocity switches.
Nikita Ratanov
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Selection in car insurance when claims are heterogeneous
Journal of Risk and Insurance, EarlyView.Abstract Econometric studies of insurance markets have analyzed the Positive Correlation Property to test for the presence of asymmetric information. Car‐insurance studies frequently compare policies purchasing Mandatory Third‐Party Liability alone with policies that purchase additional coverage and use the presence of a liability claim as a measure of
Edmund Cannon +2 more
wiley +1 more source
Currency Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
This paper examines the effect on the effectiveness of using futures contracts as hedging instruments of: 1) the model of volatility used to estimate conditional variances and covariances, 2) the analyzed currency, and 3) the maturity of the futures ...
Juan-Ángel Jiménez-Martín +2 more
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Pursuing patents for their own sake: How the investment discourse shapes patent quality and quantity
The Journal of World Intellectual Property, EarlyView.Abstract Patent systems worldwide face criticisms over declining patent quality and increasing patent quantity. While most research focuses on strengthening examination rigour, this article turns attention to relatively underexplored patenting incentives.
Li Liu
wiley +1 more source
Quadratic Hedging of Basis Risk [PDF]
This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Follmer-Schweizer decomposition of a European claim.
Hardy Hulley, T. A. McWalter
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Philosophical Perspectives, EarlyView.ABSTRACT This paper addresses the following questions: When do AIs die? Are AI labs or AI users causing the death of AIs? Is this bad for the AIs? What are our ethical responsibilities in light of the answers to these questions? It is currently unclear whether AIs are welfare subjects, and, if they are, whether their death is bad for them. But we argue
Simon Goldstein, Harvey Lederman
wiley +1 more source