Results 11 to 20 of about 166,123,129 (109)

ABS, MBS and CDO compared: an empirical analysis [PDF]

The capital market in which asset-backed securities are issued and traded is composed of three main categories: ABS, MBS and CDOs. We were able to examine a total number of 3,466 loans (worth €548.85 billion) of which 1,102 (worth €163.90 billion) have ...
Vink, Dennis
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Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics [PDF]

This work represents a first attempt to price European commercial mortgage backed securities (CMBS) and our results are consistent with research carried out in the US market.
Giovanni Alberto Tira, Gianluca Marcato
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Model uncertainty and its impact on the pricing of derivative instruments [PDF]

Model uncertainty, in the context of derivative pricing, can be defined as the uncertainty on the value of a contingent claim resulting from the lack of precise knowledge of the pricing model to be used for its valuation. We introduce here a quantitative
Rama Cont
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Option pricing using hidden Markov models [PDF]

, 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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Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model [PDF]

We present the multi-factor quadratic reduced form model for pricing of credit risky securities. We use quadratic Gaussian processes to model the short term interest rate and the intensity of default showing that we get tractable formulas for the price ...
Samson Assefa
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The pricing of financial assets in the physical world of finance [PDF]

The pricing of financial assets, this paper contends, it does not consist only in assessing a technical value from a valuation model and then calibrating such value by looking at the market.
Rodolfo Apreda
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Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities [PDF]

We discuss extensions of intensity based models for pricing credit risk and derivative securities to the simulation and valuation of portfolios.
Stavros A. Zenios, Norbert Jobst
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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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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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Arbitrage and Control Problems in Finance. Presentation. [PDF]

The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959, Chap. 7), the Black and Scholes (1973) formula,and the Cox and Ross (1976) linear pricing model.
Elyès Jouini
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