Results 1 to 10 of about 61,952 (182)
WARNING: Physics Envy May Be Hazardous To Your Wealth! [PDF]
, 2010 The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems - and financial markets in particular - that are as predictive as those in ...
A Blinder +76 more
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Asset pricing and investor risk in subordinated asset securitisation [PDF]
, 2005 As a sign of ambivalence in the regulatory definition of capital adequacy for credit risk and the quest for more efficient refinancing sources collateral loan obligations (CLOs) have become a prominent securitisation mechanism. This paper presents a loss-
Jobst, Andreas A.
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Term Default, Balloon Risk, and Credit Risk in Commercial Mortgages [PDF]
, 2003 Term default and balloon risk play an interactive role in the pricing of credit risk in commercial mortgages. Most commercial mortgage pricing studies assume a borrower\u27s default decision is based solely on the property value; the mortgage valuation ...
Eppli, Mark, Tu, Charles C.
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Efficient option pricing with transaction costs [PDF]
, 2002 A fast numerical algorithm is developed to price European options with proportional transaction costs using the utility-maximization framework of Davis (1997).
Monoyios, Michael
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Consistent Valuation Across Curves Using Pricing Kernels [PDF]
, 2018 The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a ...
Macrina, Andrea, Mahomed, Obeid
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On pricing kernels, information and risk [PDF]
, 2013 We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the ...
Gebbie, T. J., Wilcox, D. L.
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, 2017 This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to attain target ...
Leisen, Dietmar, Platen, Eckhard
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On Reduced Form Intensity-based Model with Trigger Events
, 2013 Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions.
Ching, Wai-Ki +3 more
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Information, Inflation, and Interest
, 2007 We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting.
Hughston, Lane P., Macrina, Andrea
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Dynamic option adjusted spread and the value of mortgage backed securities [PDF]
, 2007 We extend a reduced form model for pricing mortgage-backed securities (MBS) pass through and provide a novel hedging tool for investors in this market. To calculate the price of an MBS traders use what is known as option-adjusted spread (OAS).
Cerrato, Mario, Djennad, Abdelmadjid
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