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The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of ...
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
L´ evy processes Wiener–Hopf factorization exotic options
2010/11/2
This paper considers the valuation of exotic path-dependent options in L´evy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener–Hopf facto...
Defaultable bonds with an infinite number of Levy factors
Lévy processes defaultable bonds HJM postulate credit risk rating migration conditional Markov chains
2010/11/2
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting
and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes ...
Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
credit derivatives credit risk credit default swap inter-temporal relations between markets
2010/11/3
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial inn...