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The determinants of CDS spreads: evidence from the model space CDS价差的决定因素:来自模型空间的证据
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2017-06-26 DOI: 10.1007/s11147-017-9134-6
Matthias Pelster, Johannes K. Vilsmeier
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引用次数: 1
The determinants of CDS spreads: evidence from the model space CDS利差的决定因素:来自模型空间的证据
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2017-06-12 DOI: 10.2139/ssrn.2802316
Matthias Pelster, Johannes K. Vilsmeier
We apply Bayesian model averaging and a frequentistic model space analysis to assess the pricing determinants of credit default swaps (CDSs). Our study focuses on the complete model space of plausible models and thus supports ultimate robustness. Using a large dataset of CDS contracts we find that CDS price dynamics can be mainly explained by factors describing firms’ sensitivity to extreme market movements. More precisely, our results suggest that dynamic copula based measures of tail dependence incorporate most essential pricing information, making other potential determinants such as Merton-type factors or linear variables measuring the systematic market evolution negligible.
我们应用贝叶斯模型平均和频率模型空间分析来评估信用违约掉期(CDS)的定价决定因素。我们的研究集中在可信模型的完整模型空间上,从而支持最终的稳健性。使用CDS合约的大型数据集,我们发现CDS价格动态主要可以通过描述企业对极端市场波动的敏感性的因素来解释。更准确地说,我们的结果表明,基于copula的尾部依赖性动态测量包含了最基本的定价信息,使得其他潜在的决定因素,如Merton型因素或衡量系统市场演变的线性变量,可以忽略不计。
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引用次数: 12
Did crisis alter trading of two major oil futures markets? 危机是否改变了两大石油期货市场的交易?
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2017-04-19 DOI: 10.1007/s11147-017-9133-7
Iman Adeinat, Naseem Al Rahahleh, Peihwang Wei
The paper analyzes how traders in two major oil futures markets: New York Mercantile Exchange (NYMEX) and Intercontinental Exchange, reacted to the 2008 financial crisis, particularly whether they shifted their trading pattern and whether the relative information role of the two markets changed. Using trade-by-trade data, the paper analyzes several trading characteristics including trading volume, trade size, volatility, bid–ask spread, and relative information share. On average, NYMEX is characterized by greater volume, trade size and slightly greater spread. Before the crisis, NYMEX leads the process of price discovery, and volatility and trade size are significant factors explaining this leadership. However, following the financial crisis of 2008, the leadership role of NYMEX declines and trade size and volatility are no longer significant factors. Contrary to results of most equity market research, bid–ask spread is not a significant factor in information share and causality tests indicate that causality runs from spread to information share before the crisis but the opposite holds during the crisis period.
本文分析了两大石油期货市场的交易者是如何应对 2008 年金融危机的:纽约商品交易所(NYMEX)和洲际交易所(Intercontinental Exchange)的交易商如何应对 2008 年的金融危机,特别是他们是否转变了交易模式,以及两个市场的相对信息作用是否发生了变化。本文利用逐笔交易数据分析了交易量、交易规模、波动率、买卖价差和相对信息份额等交易特征。平均而言,NYMEX 的交易量更大,交易规模更大,价差略大。危机前,NYMEX 在价格发现过程中处于领先地位,波动率和交易规模是解释这种领先地位的重要因素。然而,2008 年金融危机之后,纽约商品交易所的领导作用下降,交易规模和波动性不再是重要因素。与大多数股票市场研究结果相反,买入-卖出价差不是影响信息份额的重要因素,因果关系检验表明,危机前价差与信息份额之间存在因果关系,但危机期间则相反。
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引用次数: 0
A multivariate stochastic volatility model with applications in the foreign exchange market 应用于外汇市场的多元随机波动模型
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2017-03-20 DOI: 10.1007/s11147-017-9132-8
Marcos Escobar, Christoph Gschnaidtner
The main objective of this paper is to study the behavior of a daily calibration of a multivariate stochastic volatility model, namely the principal component stochastic volatility (PCSV) model, to market data of plain vanilla options on foreign exchange rates. To this end, a general setting describing a foreign exchange market is introduced. Two adequate models—PCSV and a simpler multivariate Heston model—are adjusted to suit the foreign exchange setting. For both models, characteristic functions are found which allow for an almost instantaneous calculation of option prices using Fourier techniques. After presenting the general calibration procedure, both the multivariate Heston and the PCSV models are calibrated to a time series of option data on three exchange rates—USD-SEK, EUR-SEK, and EUR-USD—spanning more than 11 years. Finally, the benefits of the PCSV model which we find to be superior to the multivariate extension of the Heston model in replicating the dynamics of these options are highlighted.
本文的主要目的是研究多变量随机波动率模型(即主成分随机波动率(PCSV)模型)与 外汇汇率的普通虚值期权市场数据的每日校准行为。为此,引入了描述外汇市场的一般环境。对两个适当的模型--PCSV 和一个更简单的多元赫斯顿模型--进行了调整,以适应外汇市场的环境。对于这两个模型,我们都找到了特征函数,从而可以利用傅立叶技术对期权价格进行几乎瞬时的计算。在介绍了一般校准程序之后,对多元海斯顿模型和 PCSV 模型都进行了校准,校准了三种汇率--美元-瑞典克朗、欧元-瑞典克朗和欧元-美元--的期权数据时间序列,时间跨度超过 11 年。最后,我们强调了 PCSV 模型的优势,我们发现该模型在复制这些期权的动态方面优于 Heston 模型的多元扩展。
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引用次数: 0
The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk 当股票价格面临跳跃风险时,参与指数有上限的人寿保险合同的益处
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2017-03-16 DOI: 10.1007/s11147-017-9131-9
Antje Mahayni, Matthias Muck
We analyze the benefit to the insured of newly traded, innovative life insurance contracts. On a sequence of yearly reference days, the insured can choose between a guaranteed return (linked to the insurer’s asset result) and a capped index participation. The cap is adjusted at the beginning of each year such that both alternatives have the same value and the option to select is costless (product structuring condition). We point out that this condition cannot always be met. If the guaranteed return exceeds the upper bound of the capped index participation, the insurer can make a side profit. We show that a rather low insurance result also implies a rather low stock exposure, even if the insured opts for the index participation. Concerning the impact of the index dynamics, we emphasize that it is important to distinguish between jump and diffusion risk because the pricing of jump risk has an impact on cap rates that can be offered to an insured. Finally, we show that the optimal decision strategy of a CRRA investor implies an index selection even if it is unfairly priced such that the insurer indeed makes a side profit.
我们分析了新交易的创新型人寿保险合同给投保人带来的收益。在每年的一系列基准日,被保险人可以在保证收益(与保险公司的资产结果挂钩)和有上限的指数参与之间做出选择。上限在每年年初进行调整,使两种选择具有相同的价值,并且选择是无成本的(产品结构条件)。我们要指出的是,这一条件不可能始终得到满足。如果保证收益超过指数参与上限,保险人就能从中获利。我们表明,即使投保人选择参与指数,相当低的保险结果也意味着相当低的股票风险。关于指数动态的影响,我们强调区分跳跃风险和扩散风险非常重要,因为跳跃风险的定价会影响投保人的上限利率。最后,我们证明了 CRRA 投资者的最优决策策略意味着选择指数,即使指数的定价不公平,从而使保险公司确实获得了附带利润。
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引用次数: 0
Pricing double barrier options under a volatility regime-switching model with psychological barriers 带有心理障碍的波动率制度转换模型下的双障碍期权定价
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2017-03-15 DOI: 10.1007/s11147-017-9130-x
Shiyu Song, Yongjin Wang
The prices of lots of assets have been proved in literature to exhibit special behaviors around psychological barriers, which is an important fact needed to be considered when pricing derivatives. In this paper, we discuss the valuation problem of double barrier options under a volatility regime-switching model where there exist psychological barriers in the prices of underlying assets. The volatility can shift between two regimes, that is to say, when the asset price rises up or falls down through the psychological barrier, the volatility takes two different values. Using the Laplace transform approach, we obtain the price of the double barrier knock-out call option as well as its delta. We also provide the eigenfunction expansion pricing formula and examine the effect of the psychological barrier on the option price and delta, finding that the gamma of the option is discontinuous at such barriers.
文献证明,许多资产的价格在心理障碍附近表现出特殊行为,这是衍生品定价时需要考虑的一个重要事实。在本文中,我们讨论了波动率制度转换模型下的双障碍期权估值问题,即标的资产的价格存在心理障碍。波动率可以在两个制度之间转换,也就是说,当资产价格上涨或下跌突破心理障碍时,波动率会有两个不同的值。利用拉普拉斯变换方法,我们得到了双障碍击穿看涨期权的价格及其 delta 值。我们还提供了特征函数展开定价公式,并研究了心理障碍对期权价格和 delta 的影响,发现期权的伽马值在这种障碍处是不连续的。
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引用次数: 0
Profitability patterns in the interest rate derivatives market 利率衍生品市场的盈利模式
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2017-03-09 DOI: 10.1007/s11147-017-9129-3
Ralf Meyer
This study identifies profitability patterns and their determinants in the global interest rate derivatives market. Although this market is the world’s largest financial market in terms of nominal value, there has been basically no academic research on profitability owing to missing data. To address this problem, a new analytical method has been developed. Using this new method, the study shows that interest rate derivatives have been a substantial source of profitability that have netted a total average annual profit of more than USD 82 billion for banks since 2009. Furthermore, the study shows that counterparty type, market position (i.e. being one of the Top 5 banks), and trade currency are determinants of the profitability of a trade. For other features of a trade, such as duration or notional amount, no correlation with profitability is found. Finally, the impact of changes of the market structure on profitability driven by regulatory initiatives is discussed qualitatively.
本研究确定了全球利率衍生品市场的盈利模式及其决定因素。虽然就名义价值而言,该市场是全球最大的金融市场,但由于数据缺失,学术界基本上没有关于盈利能力的研究。为了解决这个问题,我们开发了一种新的分析方法。利用这一新方法,研究表明,利率衍生品一直是银行盈利能力的重要来源,自 2009 年以来,平均每年为银行带来的净利润总额超过 820 亿美元。此外,研究还表明,交易对手类型、市场地位(即五大银行之一)和交易货币是交易盈利能力的决定因素。至于交易的其他特征,如期限或名义金额,则与盈利能力无关。最后,我们从定性角度讨论了监管措施导致的市场结构变化对盈利能力的影响。
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引用次数: 0
A unified approach for the pricing of options relating to averages 平均值期权定价的统一方法
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2017-02-06 DOI: 10.1007/s11147-017-9128-4
Hideharu Funahashi, Masaaki Kijima
In this paper, we consider generalized Asian options and propose a unified approximation method for the pricing of such options when the underlying process is a diffusion. Through numerical examples, we show that our approximation method is accurate enough to be used in practice for the pricing of any type of Asian options that has been treated separately in the literature. Comparisons are made with the existing methods in the literature to support the usefulness of our method.
在本文中,我们考虑了广义亚洲期权,并提出了一种统一的近似方法,用于在标的物为扩散过程时对此类期权进行定价。通过数值例子,我们证明了我们的近似方法足够精确,可以用于文献中单独处理的任何类型亚洲期权的定价。我们还与文献中的现有方法进行了比较,以证明我们的方法是有用的。
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引用次数: 0
Implied volatility and skewness surface 隐含波动率和偏度曲面
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2017-01-09 DOI: 10.1007/s11147-016-9127-x
Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tédongap
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引用次数: 3
A four-factor stochastic volatility model of commodity prices 商品价格的四因素随机波动模型
IF 0.8 4区 经济学 Q4 BUSINESS, FINANCE Pub Date : 2016-11-16 DOI: 10.1007/s11147-016-9126-y
Max F. Schöne, S. Spinler
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引用次数: 6
期刊
Review of Derivatives Research
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