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We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffu- sion. We introduce a new, intrinsic characte ...
This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the und ...
Birkhauser Boston, C/O Springer-Verlag, Service Center, 44 Hartz Way, Secaucus, Nj 07096-2491 Usa2011
This paper considers the pricing and hedging of collateralized debt obligations (CDOs). CDOs are complex derivatives on a pool of credits which we choose to analyse in the top down model proposed in Filipovic et al. (Math. Finance, forthcoming, 2009). We r ...
Springer-Verlag New York, Ms Ingrid Cunningham, 175 Fifth Ave, New York, Ny 10010 Usa2010
It is necessary to take into account the micro discretization of natural rock when studying its macroscopic failure behavior. This requirement has resulted in renewed and increased interest in the discrete or framework/lattice numerical modeling techniques ...
We examine whether equity volatility can explain the difference in syndicated corporate loan spreads paid by U.S. and European borrowers first documented by Carey and Nini (2007). We argue that OLS estimates of the association between equity volatility and ...
This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...
In the spirit of Bjork-DiMasi-Kabanov-Runggaldier, we investigate term structure models driven by Wiener process and Poisson measures with forward curve dependent volatilities. This includes a full existence and uniqueness proof for the corresponding Heath ...
After several generations of video coding standards, MPEG High Efficient Video Coding (HEVC) is likely to emerge as the video coding standards for HD and Ultra-HD TV. HEVC decoding is expected to be less computationally demanding and to provide a higher le ...
We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in whic ...
