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  • Articles  (1,116)
  • Blackwell Publishing Ltd  (1,116)
  • Mathematics  (1,116)
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  • Articles  (1,116)
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  • 1
    Electronic Resource
    Electronic Resource
    A DIFFUSION MODEL FOR ELECTRICITY PRICES (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Starting from a simple supply/demand model for electricity, we obtain a diffusion (i.e., jumpless) model for spot prices which can exhibit price spikes. We estimate the parameters in the model using historical data from the Alberta and California markets. and compare this model with some others used for spot prices.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00125.x
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  • 2
    Electronic Resource
    Electronic Resource
    PASSPORT OPTIONS (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We relate the theory of passport options with general principles from martingale theory as well as with the theory of Bessel processcs. The calculation of the price of a passport option leads to an equality between two norms on continuous martingales. We also solve the discrete time case for passport options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00126.x
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  • 3
    Electronic Resource
    Electronic Resource
    MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easlcy (1992) to any complete or incomplete asset market.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00127.x
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  • 4
    Electronic Resource
    Electronic Resource
    SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper discusses separablc term structure diffusion models in an arbitrage-free environment. Using general consistency results we exploit the interplay between the diffusion coefficients and the functions determining the forward curve. We introduce the particular class of polynomial term structure models. We formulate the appropriate conditions under which the diffusion for a quadratic term structure model is necessarily an Ornstein-Uhlenbeck type process. Finally, we explore the maximal degree problem and show that basically any consistent polynomial term structure model is of degree two or less.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00128.x
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  • 5
    Electronic Resource
    Electronic Resource
    VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A topical problem is how to price and hedge claims on nontraded assets. A natural approach is to use for hedging purposes another similar asset or index which is traded. To model this situation, we introduce a second nontraded log Brownian asset into the well-known Merton investment model with power law and exponential utilities. The investor has an option on units of the nontraded asset and the question is how to price and hedge this random payoff. The presence of the second Brownian motion means that we are in the situation of incomplete markets. Employing utility maximization and duality methods we obtain a series approximation to the optimal hedge and reservation price using the power utility. The problem is simpler for the exponential utility, and in this case we derive an explicit representation for the price. Price and hedging strategy are computed for some example options and the results for the utilities are compared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00129.x
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  • 6
    Electronic Resource
    Electronic Resource
    PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of partial hedging of derivative risk in a stochastic volatility environment. It is related to state-dependent utility maximization problems in classical economics. We derive the dual problem from the Legendre transform of the associated Bellman equation and interpret the optimal strategy as the perfect hedging strategy for a modified claim. Under the assumption that volatility is fast mean-reverting and using a singular perturbation analysis, we derive approximate value functions and strategies that are easy to implement and study. The analysis identifies the usual mean historical volatility and the harmonically averaged long-run volatility as important statistics for such optimization problems without further specification of a stochastic volatility model. The approximation can be improved by specifying a model and can be calibrated for the leverage effect from the implied volatility skew. We study the effectiveness of these strategies using simulated stock paths.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00130.x
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  • 7
    Electronic Resource
    Electronic Resource
    MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The Black-Scholes option price is increasing and convex with respect to the initial stock price. increasing with respect to volatility and instantaneous interest rate, and decreasing and convex with respect to the strike price. These results have been extended in various directions. In particular, when the underlying stock price follows a one-dimensional diffusion and interest rates are deterministic, it is well known that a European contingent claim's price written on the stock with a convex (concave. respectively) payoff function is also convex (concave) with respect to the initial stock price. This paper discusses extensions of such results under more general settings by simple arguments.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00131.x
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  • 8
    Electronic Resource
    Electronic Resource
    PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a numerically accurate and computationally fast approximation to the prices of European options on coupon-bearing instruments that is applicable to the entire family of affine term structure models. Exploiting the typical shapes of the conditional distributions of the risk factors in affine diffusions, we show that one can reliably compute the relevant probabilities needed for pricing options on coupon-bearing instruments by the same Fourier inversion methods used in the pricing of options on zero-coupon bonds. We apply our theoretical results to the pricing of options on coupon bonds and swaptions, and the calculation of “expected exposures” on swap books. As an empirical illustration, we compute the expected exposures implied by several affine term structure models fit to historical swap yields.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00132.x
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  • 9
    Electronic Resource
    Electronic Resource
    A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A senera1 proof of the Dybvig-Ingersoll-Ross Theorem o n thc monotonicity of long foraard rates is presented. Some inconsistencies in the original proof o f this theorein are discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00133.x
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  • 10
    Electronic Resource
    Electronic Resource
    MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper introduces a method for constructing option hedging strategies in the presence of transaction costs. the approach begins with the prescription of a large, but tractable class of strategies. A variational problem is constructed in which the expected square replication error is minimized subject to a fixed initial portfolio value from among the class of strategies. the solution of this variational problem results in a replicating strategy which simulations show outperforms strategies previously considered. We illustrate this method in a particular class of strategies which contains Leland's discrete time replication scheme. We show that a strategy which uses varying time intervals between hedging can significantly reduce replication error for a given initial wealth. We will also construct and assess strategies obtained by optimizing a mean-variance criterion. This methodology extends to other optimization problems involving initial portfolio value and expected square replication error, as well as to other classes of strategies.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00121.x
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