Technical papers/Foreign Exchange
Modellierung von Inflation
Lars Kjaergaard modelliert Inflation mit einer dreifaktoriellen Gauß-Methode. Sie ergibt eine einfache Beschreibung von Derivaten, die an Inflation und Zinssätze gebunden sind, und erlaubt eine schnelle...
Even though domestic swap spreads are stretched several standard deviations above historical three- and seven-year means, these spreads exhibit a statistically viable upward trend. Nevertheless, some moderation...
As spreads to be earned on other fixed income products have declined, mortgages have become more attractive but investors should know what risks are hedged and why. Mark Raaberg considers the main risk...
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More Technical papers/Foreign Exchange articles
Calibrating and pricing with local volatility models
Consistently fitting vanilla option surfaces when pricing volatility derivatives such as Vix options or interest rate/equity hybrids is an important issue. Yong Ren, Dilip Madan and Michael Qian Qian show how this can be accomplished, using a stochastic...
Dynamic optimisation for investors
In this paper the author uses a simple two-step approach to represent the dynamics of strategic asset allocation composition. He shows that this approach significantly reduces risk assessment compared with static optimisation
The true cost of no-cost mortgages
Banks offering no-cost mortgages have been accused of hiding the real cost of the loan from borrowers. But as Andrew Kalotay and Jinghua Qian explain, lenders can also run into problems if they fail to calculate correctly the prepayment behaviour of these...
Kalibrierung - Markov-Projektion zur Kalibrierung der Volatilität
Vladimir Piterbarg erläutert die grundsätzlich auf jedes (Diffusions) Modell anwendbare "Markov-Projektionsmethode", mit der in geschlossener Form Approximationen an Preise europäischer Optionen auf verschiedene Basiswerte möglich sind. Hier wird...
Capital budgeting
How can a business objectively allocate capital to competing projects or business units in a way that takes into account both estimated returns and risks? Rebecca Benson Leiter and Tom Madden develop a method for doing so by modifying the Treynor-Black...
Purchase timing
Managing purchase timing risk is a constant issue for wholesale power buyers. Pavel Diko reviews products that reduce this risk, proposes a lookback option that can eliminate it completely and outlines a hedging strategy for the option writer
Correlaciones entre incumplimiento y recuperación - un enfoque economßtrico...
Basilea II postula la integración de coherencias entre los incumplimientos y la severidad de la pßrdida (LGD). Si entre ambos hay una correlación positiva, la utilización de modelos separados para cada uno de ellos da lugar a estimaciones sesgadas...
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