Concept
Dividende
Publications associées (16)
A term structure model for dividends and interest rates
Damir Filipovic, Sander Félix M Willems
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
WILEY2020Pricing 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 ...
EPFL2019Asset Pricing When 'This Time Is Different'
Recent evidence suggests that younger people update beliefs in response to aggregate shocks more than older people. We embed this generational learning bias in an equilibrium model in which agents have recursive preferences and are uncertain about exogenou ...
Oxford Univ Press Inc2017Dividend Dynamics and the Term Structure of Dividend Strips
Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to divid ...
Wiley-Blackwell2015