Concept
Stock market index future
Publications associées (4)
Linear Stochastic Dividend Model
In this paper, we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate nonnegative. In its simplest form, the model ...
WORLD SCIENTIFIC PUBL CO PTE LTD2020Pricing interest rate, dividend, and equity risk
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
EPFL2019On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations
We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...
Wiley-Blackwell2012Local parametric analysis of derivatives pricing and hedging
A novel methodology for the analysis of derivatives pricing in incomplete markets is tested empirically. The methodology generates hedge ratios and derivatives prices. They are estimated from the correlation structure between the local co-movements of secu ...
2003