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Effectiveness of weather derivatives as a hedge against the weather risk in agriculture
agriculture hedging effectiveness non-catastrophic weather risk weather derivatives
2016/9/1
Weather affects the economies worldwide and all economic sectors are to some extent weather sensitive. Agriculture is traditionally highly weather sensitive. While the catastrophic impact of weather h...
New solvable stochastic volatility models for pricing volatility derivatives
New solvable stochastic volatility models pricing volatility derivatives Pricing of Securities
2012/6/5
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the...
Local Volatility Pricing Models for Long-dated FX Derivatives
Local volatility Stochastic volatility Foreign Exchange Stochastic interest rates Calibration
2012/4/28
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We deriv...
Controlled options: derivatives with added flexibility
Controlled options derivatives added flexibility
2011/1/4
The paper introduces a modification of the passport options such that the holder selects select dynamically a weight function that control the distribution of the payments (benefits) for option holder...
A Cautious Note on the Design of Volatility Derivatives
3/2 volatility model variance swap num´ eraire portfolio
2010/10/21
This cautious note aims to point at the potential risks for the financial system caused by various increasingly popular volatility derivatives including variance swaps on futures of equity indices. It...
Information Asymmetry in Pricing of Credit Derivatives
Information Asymmetry Pricing Credit Derivatives
2010/10/18
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the...