Spanned Stochastic Volatility In Bond Markets
DOWNLOAD
Download Spanned Stochastic Volatility In Bond Markets PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Spanned Stochastic Volatility In Bond Markets book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Spanned Stochastic Volatility In Bond Markets
DOWNLOAD
Author : Don H. Kim
language : en
Publisher:
Release Date : 2007
Spanned Stochastic Volatility In Bond Markets written by Don H. Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with 1996-2008 categories.
This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios, and analyze the evidence for each of them. I argue that the poor bonds/options relative pricing in the extant literature is not necessarily evidence for the strong USV scenario, and show that a maximally flexible 2-factor quadratic-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping the positive-definiteness requirement for nominal interest rates and adopting "regularized" estimations turn out to be important for obtaining sensible results.
Do Bonds Span The Fixed Income Markets Theory And Evidence For Unspanned Stochastic Volatility
DOWNLOAD
Author : Pierre Collin-Dufresne
language : en
Publisher:
Release Date : 2011
Do Bonds Span The Fixed Income Markets Theory And Evidence For Unspanned Stochastic Volatility written by Pierre Collin-Dufresne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Most models of the term structure are restrictive in that they assume the bond market forms a complete market. That is, they assume all sources of risk affecting fixed income derivatives can be completely hedged by a portfolio consisting solely of bonds. Below, we present empirical evidence which suggests this prediction fails in practice. In particular, we find that changes in swap rates have very limited explanatory power for returns on at-the-money straddles - portfolios mainly exposed to volatility risk. We term this empirical feature 'unspanned' stochastic volatility (USV). We demonstrate that bivariate Markov models (e.g., Fong and Vasicek (1991), Longstaff and Schwartz (1992)) cannot exhibit USV. Then, we determine necessary (and apparently sufficient) parameter restrictions for trivariate Markov affine systems to exhibit USV. Finally, USV is shown to occur naturally within the Heath-Jarrow-Morton framework.
Do Bonds Span Volatility Risk In The U S Treasury Market
DOWNLOAD
Author : Torben Gustav Andersen
language : en
Publisher:
Release Date : 2007
Do Bonds Span Volatility Risk In The U S Treasury Market written by Torben Gustav Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Government securities categories.
We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the cross-section of yields. We conclude that a broad class of affine diffusive, Gaussian-quadratic and affine jump-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond markets per se are incomplete and yield volatility risk cannot be hedged by taking positions solely in the Treasury bond market. We also advocate using the empirical realized yield volatility measures more broadly as a basis for specification testing and (parametric) model selection within the term structure literature.
Complex Systems In Finance And Econometrics
DOWNLOAD
Author : Robert A. Meyers
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-11-03
Complex Systems In Finance And Econometrics written by Robert A. Meyers and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-03 with Business & Economics categories.
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Fixed Income Modelling
DOWNLOAD
Author : Claus Munk
language : en
Publisher: Oxford University Press
Release Date : 2011-06-30
Fixed Income Modelling written by Claus Munk and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-30 with Business & Economics categories.
A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
Understanding Asian Equity Flows Market Returns And Exchange Rates
DOWNLOAD
Author : Chayawadee Chai-Anant
language : en
Publisher:
Release Date : 2008
Understanding Asian Equity Flows Market Returns And Exchange Rates written by Chayawadee Chai-Anant and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capital movements categories.
This paper examines from various angles foreign investors' daily transactions in six emerging Asian equity markets and their relationship with local market returns and exchange rate changes over the period 1999-2006. Confirming much of the literature, we find that equity market returns matter for net equity purchases, and vice versa. In addition, we find that while currency returns tend to show little influence over foreign investors' demand for Asian equities, net equity purchases do have some explanatory power over near-term exchange rate changes. Moreover, we find that foreign investors do quite often move in or out of multiple Asian markets simultaneously - but more so on the way in than on the way out. Nonetheless, during specific events of heightened market volatility, we observe some interesting deviations from the full-sample average relationships.
Interest Rate Modeling
DOWNLOAD
Author : Leif B. G. Andersen
language : en
Publisher:
Release Date : 2010
Interest Rate Modeling written by Leif B. G. Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
"The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.
Stochastic Volatility And The Pricing Of Financial Derivatives
DOWNLOAD
Author : Antoine Petrus Cornelius van der Ploeg
language : en
Publisher: Rozenberg Publishers
Release Date : 2006
Stochastic Volatility And The Pricing Of Financial Derivatives written by Antoine Petrus Cornelius van der Ploeg and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Stochastic Volatility Modeling
DOWNLOAD
Author : Lorenzo Bergomi
language : en
Publisher: CRC Press
Release Date : 2015-12-16
Stochastic Volatility Modeling written by Lorenzo Bergomi and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-16 with Business & Economics categories.
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Handbook Of Quantitative Finance And Risk Management
DOWNLOAD
Author : Cheng-Few Lee
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-14
Handbook Of Quantitative Finance And Risk Management written by Cheng-Few Lee and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-14 with Business & Economics categories.
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.