Results 1 to 10 of about 166,123,129 (109)
A simple characterization of dynamic completeness in continuous time [PDF]
, 2013 Under review (second round) by Mathematical Finance (Online ISSN: 1467-9965)This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities' dividends ...
Diasakos, Theodoros
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Multiperiod asset pricing in the presence of transaction costs and taxes [PDF]
, 2000 This paper models the effect of transaction costs and taxes on asset pricing in a multi-period setting. It extends the study by Demody and Rockafellar (DR)(1991), where is was shown that term structure valuation is agent-specific owing to agents ...
Wang, P, Poon, S
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Comparative statics of asset prices : the effects of other assets' risk [PDF]
, 2013 Revision & Resubmission requested by the Review of Asset Pricing Studies (ISSN: 2045-9920)Currently, financial economics is unable to predict changes in asset prices with respect to changes in the underlying risk factors, even when an asset's dividend is
Diasakos, Theodoros
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Methods of pricing convertible bonds [PDF]
, 2010 Includes abstract.Includes bibliographical references (leaves 112-115).The aim of this dissertation was to build a basic understanding of hybrid securities with a focus on convertible bonds.
Zadikov, Ariel
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Infinitely many securities and the fundamental theorem of asset pricing [PDF]
, 2004 Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities.
Balbás, Alejandro, Downarowicz, Anna
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Securities Pricing with Information-Sensitive Discounting [PDF]
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particu- lar we consider credit-risky assets that may include random recovery upon default.
Andrea Macrina, Priyanka A. Parbhoo
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Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities [PDF]
We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) 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).
Mario Cerrato, Abdelmadjid Djennad
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Pricing Derivatives Securities with Prior Information on Long- Memory Volatility [PDF]
This paper investigates the existence of long memory in the volatility of the Mexican stock market. We use a stochastic volatility (SV) model to derive statistical test for changes in volatility. In this case, estimation is carried out through the Kalman
Francisco Venegas Martínez +1 more
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Pricing Mortgages: An Interpretation of the Models and Results [PDF]
Mortgages, like all debt securities, can be viewed as risk-free assets plus or minus contingent claims that can be usefully viewed as options. The most important options are: prepayment, which is a call option giving the borrower the right to buy back ...
Robert Van Order, Patric H. Hendershott
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Infinitely many securities and the fundamental theorem of asset pricing [PDF]
Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities.
Anna Downarowicz, Alejandro Balbas
core