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Mortgage Pricing: What Have We Learned So Far? [PDF]
Much progress has been achieved in the valuation of call options and interest-rate caps on default-free mortgages. The evidence suggests that the observed term structure of interest rates (the full structure, not just the end points) and a reasonable ...
Patric H. Hendershott
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Pricing the Risk of Recovery in Default with APR Violation [PDF]
This paper proposes a simple approach to infer the risk neutral density of recovery rates implied by the prices of the debt securities of a firm. The proposed approach is independent of modeling default arrival rates and allows for the violation of ...
Dilip Madan, Haluk Unal, Levent Güntay
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On the Pricing and Hedging of Long Dated Zero Coupon Bonds [PDF]
The pricing and hedging of long dated derivative contracts is a challenging area of research. As a result of utility indifference pricing for general payoffs the growth optimal portfolio turns out to be the appropriate numeraire or benchmark with the ...
Eckhard Platen
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An empirical comparison of convertible bond valuation models [PDF]
, 2010 This paper empirically compares three convertible bond valuation models. We use an innovative approach where all model parameters are estimated by the Marquardt algorithm using a subsample of convertible bond prices.
Robert Jones +8 more
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A Benchmark Approach to Investing and Pricing [PDF]
This paper introduces a general market modeling framework, the benchmark approach, which assumes the existence of the numeraire portfolio. This is the strictly positive portfolio that when used as benchmark makes all benchmarked nonnegative portfolios ...
Eckhard Platen
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Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk [PDF]
Convertible bonds are hybrid securities whose pricing relies on a set of complex inter-dependencies due to the sensitivity to interest rate risk, underlying (equity) risk, FX risk, and credit risk, and due to the convertible bond’s early exercise ...
Ali Bora Yigitbasioglu
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Analytic Pricing of Contingent Claims Under the Real-World Measure [PDF]
This article derives a series of analytic formulae for various contingent claims under the real-world probability measure using the stylised minimal market model (SMMM).
Eckhard Platen, Shane Miller
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Tranching and Pricing in CDO-Transactions [PDF]
This paper empirically investigates the tranching and tranche pricing of European securitization transactions of corporate loans and bonds. Tranching allows the originator to issue bonds with strong quality differences and thereby attract heterogeneous ...
Thomas Weber, Günter Franke
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The pricing of corporate debt and related issues [PDF]
The purpose of this thesis is to study the pricing and credit risk of corporate debt using structural and reduced-form approaches. We discuss the theoretical aspects of three important topics in pricing risky debt: (i) the impact of stochastic ...
Wong, Chi Wing Mark
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Option pricing using hidden Markov models
, 2006 Includes bibliographical references (leaves 144-149).This work will present an option pricing model that accommodates parameters that vary over time, whilst still retaining a closed-form expression for option prices: the Hidden Markov Option Pricing ...
Anderson, Michael
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