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VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
Black formula credit default index swap Credit default swap credit default swaption hedging
2011/8/22
The paper provides simple and rigorous, albeit fairly general, derivations of valuation formulae for credit default swaptions and credit default index swaptions. Results of this work cover as special ...
Monitoring financial stability: A financial conditions index approach
financial stability financial conditions economic conditions financial markets
2011/8/21
The authors highlights the monitoring financial stability through financial conditions index approach in the U.S. The authors cite that monitoring financial stability requires understanding on how tra...
Knowledge Dispersion Index for Measuring Intellectual Capital
network flow perturbations intellectual capital metrics
2011/7/5
In this paper we propose a novel index to quantify
and measure the flow of information on macro and micro
scales. We discuss the implications of this index for knowledge
management fields and also ...
COMMODITY PRICE VOLATILITY: THE IMPACT OF COMMODITY INDEX TRADERS
COMMODITY PRICE VOLATILITY: THE IMPACT OF COMMODITY INDEX TRADERS
2014/4/11
The dramatic rise in crop prices that occurred in the fall of 2006 was the beginning of an unprecedented level of volatility in agricultural markets. Corn prices for most of this decade have fluctuate...
Exchange Rates and the Consumer Price Index in Nigeria: A Causality Approach
Consumer Price Index Official Exchange Rates
2011/6/1
This paper was motivated by the need to establish the impact of importation into Nigeria and its main objectives were to find out the significant relationships between the official and parallel exchan...
Measuring expectations in options markets: An application to the SP500 index
Nonparametric Bayes Dependent Dirichlet process European Options Implied Prices
2010/10/29
Extracting market expectations has always been an important issue when making national
policies and investment decisions in financial markets. In option markets, the most popular way has been to extr...
Universal Fluctuations of AEX index
Econophysics Interdisciplinary Statistics Financial Market
2010/10/19
We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the...
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily ret...
Performance of exchange-traded sector index funds in the October 9, 2007-March 9, 2009 bear market
Exchange-Traded Sector Index Funds Bear Market Sharpe and Treynor Portfolio Performance Measures Principal Components Analysis
2010/10/18
Empirical studies demonstrate that sector investments can provide substantial portfolio
diversification benefits. Exchange-traded index funds make it easy for investors to achieve sector diversificat...
Universal Fluctuations of AEX index
Econophysics Interdisciplinary Statistics Financial Market BHP Universal fluctuations
2010/4/28
We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the...
Universality in DAX index returns fluctuations
Bramwell-Holdsworth-Pinton stock exchange optimal parameters
2010/4/28
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily retu...
Describes theory and applications of the demand revealing process, a solution to the "public goods" or "free rider" problem in public economics.
The level crossing analysis of German stock market index (DAX) and daily oil price time series
stock market index (DAX) oil price time series
2010/10/18
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...
A Coupled Markov Chain approach to risk analysis of credit default swap index products
Coupled Markov Chain risk analysis credit default swap index products
2010/11/3
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likeli-hood estimation using a large s...
A Dynamic Model for Credit Index Derivatives
Credit Risk CDO Option Dynamic Model Ane Model
2010/11/2
We present a new model for credit index derivatives, in the top-down approach. This model
has a dynamic loss intensity process with volatility and jumps and can include counterparty risk.It handles C...