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  • 1
    Digitale Medien
    Digitale Medien
    Computer Simulations of Diffraction Effects due to Stacking Faults in β-SiC: I, Simulation Results (1997)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of the American Ceramic Society 80 (1997), S. 0 
    Details
    ISSN: 1551-2916
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Maschinenbau , Physik
    Notizen: X-ray diffraction (XRD) patterns from nominally β-SiC specimens often differ from those expected for the cubic crystal structure. These differences include the presence of additional peaks, enhanced background intensities, peak broadening, changes in relative peak heights, and shifts in peak positions. It has long been recognized that they are due to the presence of stacking faults, and models relating the experimental observations to stacking fault population have continued to evolve. The presence and relative magnitude of these features vary among different β-SiC specimens. In this work, computer simulations were used to show that the variations are closely related to differences in the type and spatial distribution of stacking faults in each specimen. In these simulations, stacking sequences were generated using a selectively activated 1-D Ising model with a Boltzmann-type probability function for specifying errors, which allows a wide variety of fault configurations to be generated. Direct correlations between different features in the XRD data to the underlying fault population are demonstrated, which are discussed in this paper. It is also shown that this computer model is general, in the sense that many of the models presented in prior work can be interpreted as limiting cases of it.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1151-2916.1997.tb03034.x
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  • 2
    Digitale Medien
    Digitale Medien
    A NOTE ON THE GENERALIZED MULTIBETA CAPM (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: The unified beta theory of Connor (1984) requires that the market portfolio be well diversified in a given factor structure. Wei (1988) extended Connor's results without relying on this assumption. This note provides an alternative to Wei's result by assuming that residuals from the projection of asset return on a set of k factors follow a joint elliptical distribution.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00050.x
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  • 3
    Digitale Medien
    Digitale Medien
    ERRATUM TO “A STOCHASTIC EXTENSION OF THE MILLER-MODIGLIANI FRAMEWORK” (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00124.x
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  • 4
    Digitale Medien
    Digitale Medien
    The author replies (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00130.x
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  • 5
    Digitale Medien
    Digitale Medien
    Safety in a Child's Environment (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00109.x
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  • 6
    Digitale Medien
    Digitale Medien
    Food, Nutrition and Health (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00132.x
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  • 7
    Digitale Medien
    Digitale Medien
    Bar Charts in Minitab (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00112.x
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  • 8
    Digitale Medien
    Digitale Medien
    Short Review (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00115.x
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  • 9
    Digitale Medien
    Digitale Medien
    Board With Statistics? (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Notizen: This article reviews use of a games based resource pack with a view to its value as an aid to developing an appreciation of chance and statistics, as well as other mathematical skills, in an experiential context.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00086.x
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  • 10
    Digitale Medien
    Digitale Medien
    A Common Pitfall in the Use of the Kolmogorov-Smirnov One Sample Test (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Notizen: This article concerns the Kolmogorov-Smirnov one sample test which was introduced by the Russian mathematician A. N. Kolmogorov in 1933.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00088.x
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  • 11
    Digitale Medien
    Digitale Medien
    Take Five (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00089.x
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  • 12
    Digitale Medien
    Digitale Medien
    Correlation and Regression using QUEST (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Notizen: This article provides a report on how a commonly availbale chemical database and the graphical utilities of a database management system were used to generate discussion when introducing the topics of correlation and regression to sixth form pupils.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00105.x
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  • 13
    Digitale Medien
    Digitale Medien
    News & Notes (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1990.tb00101.x
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  • 14
    Digitale Medien
    Digitale Medien
    Sampling Common-sense (1989)
    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 11 (1989), S. 0 
    Details
    ISSN: 1467-9639
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik
    Notizen: This article reports on a novel approach to teaching ideas of sampling to college students studying Urban Regional Planning.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9639.1989.tb00063.x
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  • 15
    Digitale Medien
    Digitale Medien
    PRICING AND HEDGING DOUBLE-BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Barrier options have become increasingly popular over the last few years. Less expensive than standard options, they may provide the appropriate hedge in a number of risk management strategies. In the case of a single-barrier option, the valuation problem is not very difficult (see Merton 1973 and Goldman, Sosin, and Gatto 1979). the situation where the option gets knocked out when the underlying instrument hits either of two well-defined boundaries is less straightforward. Kunitomo and Ikeda (1992) provide a pricing formula expressed as the sum of an infinite series whose convergence is studied through numerical procedures and suggested to be rapid. We follow a methodology which proved quite successful in the case of Asian options (see Geman and Yor 1992,1993) and which has its roots in some fundamental properties of Brownian motion. This methodology permits the derivation of a simple expression of the Laplace transform of the double-barrir price with respect to its maturity date. the inversion of the Laplace transform using techniques developed by Geman and Eydeland (1995), is then fairly easy to perform.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00122.x
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  • 16
    Digitale Medien
    Digitale Medien
    CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: In markets where dealers play a central role, bid-ask spreads inhibit asset valuation as defined by the formation cost of a replicating portfolio. We introduce a nonlinear valuation formula similar to the usual expectation with respect to the risk-adjusted probability measure. This formula expresses the asset's selling and buying prices set by dealers as the Choquet integrals of their random payoffs We investigate several price puzzles: the violation of the put-call parity and the fact that the components of a security can sell at a premium to the underlying security (primes and scores).
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00119.x
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  • 17
    Digitale Medien
    Digitale Medien
    OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: In the stochastic volatility framework of Hull and White (1987), we characterize the so-called Black and Scholes implied volatility as a function of two arguments the ratio of the strike to the underlying asset price and the instantaneous value of the volatility By studying the variation m the first argument, we show that the usual hedging methods, through the Black and Scholes model, lead to an underhedged (resp. overhedged) position for in-the-money (resp out-of the-money) options, and a perfect partial hedged position for at the-money options These results are shown to be closely related to the smile effect, which is proved to be a natural consequence of the stochastic volatility feature the deterministic dependence of the implied volatility on the underlying volatility process suggests the use of implied volatility data for the estimation of the parameters of interest A statistical procedure of filtering (of the latent volatility process) and estimation (of its parameters) is shown to be strongly consistent and asymptotically normal.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00117.x
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  • 18
    Digitale Medien
    Digitale Medien
    INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: In this paper we address existence of equilibria in an incomplete markets economy with countably many periods and a continuum of states at each node of the infinite tree. We consider two models: one where agents have to honor their commitments and another where default is allowed. In both models, marginal utility of income, at each node, is shown to be bounded, and we prove existence by taking finite-dimensional approximations and applying Fatou's lemma sequentially.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00074.x
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  • 19
    Digitale Medien
    Digitale Medien
    WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper addresses the problem of estimating and analyzing the residual risk that is not hedged by a discrete hedging strategy. the use of die chaotic representation allows an elegant decomposition of the residual risk to be hedged by adequate assets. Alternative strategies to the classical delta hedging and optimization under the risk-neutral and historical probabilities are discussed.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00077.x
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  • 20
    Digitale Medien
    Digitale Medien
    PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We consider the problem of pricing path-dependent contingent claims. Classically, this problem can be cast into the Black-Scholes valuation framework through inclusion of the path-dependent variables into the state space. This leads to solving a degenerate advection-diffusion partial differential equation (PDE). We first estabilish necessary and sufficient conditions under which degenerate diffusions can be reduced to lower-dimensional nondegenerate diffusions. We apply these results to path-dependent options. Then, we describe a new numerical technique, called forward shooting grid (FSG) method, that efficiently copes with degenerate diffusion PDEs. Finally, we show that the FSG method is unconditionally stable and convergent. the FSG method is the first capable of dealing with the early exercise condition of American options. Several numerical examples are presented and discussed./〉
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00111.x
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  • 21
    Digitale Medien
    Digitale Medien
    SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: The extended Cox-Ingersoll-Ross (ECIR) models of interest rates allow for time-dependent parameters in the CIR square-root model. This article presents closed-form pathwise unique solutions of these unsolved stochastic differential equations (s.d.e.s) in terms of functionals of their driving Brownian motion and parameters. It is shown that quadratics in solution of linear s.d.e.s solve the ECIR model if and only if the dimension of the model is a positive integer and that this solution can be achieved by construction of a pathwise unique generalized Ornstein-Uhlenbeck process from the ECIR Brownian motion. For real valued dimensions an extension of the time-change theorem of Dubins and Schwarz (1965) is presented and applied to show that a lognormal process solves the model through a stochastic time change. Pathwise equivalence to a rescaled time-changed Bessel square process is also established. These novel results are applied to characterize zero-hitting time and to produce transition density and zero-hitting conditions for the ECIR spot rate. the CIR term structure is then extended to ECIR under no arbitrage, and its solutions and the transition density are represented under a new ECIR martingale measure. the findings are employed to derive a closed-form ECIR bond option valuation formula which generalizes that obtained by CIR (1985).
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00113.x
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  • 22
    Digitale Medien
    Digitale Medien
    CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We investigate an optimal consumption/investment decision problem with partially observable drift. Logarithmic utilities are shown to be necessary and sufficient for the certainty equivalence principle to hold. For the sufficiency part of the proof, we allow a general stochastic structure about the unobservable drift. On the other hand, a simple Bayesian structure is assumed for the necessity part in order to utilize the Hamilton-Jacobi-Bellman equations.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00069.x
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  • 23
    Digitale Medien
    Digitale Medien
    BOOK REVIEW (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Book Review in this Articleeconomic and financial modelling with mathematica, hal R. varian (editor), telos/springer-verlag. new york 1993
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00073.x
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  • 24
    Digitale Medien
    Digitale Medien
    DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00064.x
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  • 25
    Digitale Medien
    Digitale Medien
    EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean-variance capital market. Also, we give an explicit formula for such a price vector. This formula shows that the price of assets is an increasing function of p̄, the weighted average of the requested rate of return of individual investors, which tends to infinity as p̄ approaches the expected rate of return on the market portfolio. Further, we construct a macroeconomic index which gives information about the soundness of the capital market.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00066.x
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  • 26
    Digitale Medien
    Digitale Medien
    ATTAINABLE CLAIMS IN A MARKOV MARKET (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: It is shown how, even when the market is incomplete, certain contingent claims are attainable: that is, they can be represented as stochastic integrals with respect to the process which describes the evolution of the asset prices.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00105.x
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  • 27
    Digitale Medien
    Digitale Medien
    MULTIVARIATE STABLE FUTURES PRICES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper introduces new techniques for modeling financial data under the assumption that the data belong to the domain of attraction of a multivariate stable Pareto law. We provide tail estimators for the index of stability parameter a and the corresponding spectral measure. These estimators are then applied to test the associtation of the individual components and to compute estimates of portfolio risk and the covariation of commodities. A practical example is given using DM-dollar and JY-dollar exchange rates data.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00106.x
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  • 28
    Digitale Medien
    Digitale Medien
    BOOK REVIEW (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Book Review in this Article Dynamic Asset Pricing Theory, By Darrell Duffie
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00102.x
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  • 29
    Digitale Medien
    Digitale Medien
    Option Pricing For Jump Diffusions: Approximations and Their Interpretation (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We derive a computable approximation for the value of a European call option when prices satisfy a jump-diffusion model with the coefficients depending explicitly on time. This is achieved by approximating the original coefficients with functions that are piecewise constant in time. We give an interpretation of the approximating option values, in particular in the context of a discrete-time model associated with the approximating continuous-time model.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00087.x
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    Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: For a compound Poisson process with negative drift and jump distribution consisting of a mixture of exponentials on [0) and on (-, 0), an exact expression is derived for the probability of hitting the level c, c 〉 0. the problem is motivated by modeling the returns from trading on financial markets.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00038.x
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    Pricing Options On Risky Assets In A Stochastic Interest Rate Economy (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper studies contingent claim valuation of risky assets in a stochastic interest rate economy. the model employed generalizes the approach utilized by Heath, Jarrow, and Morton (1992) by imbedding their stochastic interest rate economy into one containing an arbitrary number of additional risky assets. We derive closed form formulae for certain types of European options in this context, notably call and put options on risky assets, forward contracts, and futures contracts. We also value American contingent claims whose payoffs are permitted to be general functions of both the term structure and asset prices generalizing Bensoussan (1984) and Karatzas (1988) in this regard. Here, we provide an example where an American call's value is well defined, yet there does not exist an optimal trading strategy which attains this value. Furthermore, this example is not pathological as it is a generalization of Roll's (1977) formula for a call option on a stock that pays discrete dividends.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00030.x
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    Option Pricing When Jump Risk Is Systematic (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper generalizes the Merton jump-diffusion option pricing model to the case in which jump risk cannot be eliminated in the market portfolio. the option pricing formula is obtained using a general equilibrium asset pricing model. Since jump risk is systematic, the correlation of the underlying stock's jump with the market portfolio's jump affects the option price.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00034.x
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    Pricing the Quality Option In Treasury Bond Futures (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This article develops a model for pricing the quality option embedded in the Treasury bond futures contract. Since the option value is set relative to a large family of deliverable bond prices, it is important for the theoretical bond prices to match up to the observed prices. Hence an arbitrage-based model is used where the forward rate process is initialized at its current observable value. A model for valuing the quality option in an otherwise identical forward contract is also established. This permits the quality option and marking to market costs to be separately quantified. Support is provided for the common practice of pricing Treasury bond futures contracts as forward contracts with an embedded forward quality option.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00029.x
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    DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: In the modern theory of finance, the valuation of derivative assets is commonly based on a replication argument. When there are transaction costs, this argument is no longer valid. In this paper, we try to address the general problem of finding the optimal portfolio among those which dominate a given derivative asset at maturity. We derive an interval for its price. the upper bound is the minimum amount one has to invest initially in order to obtain proceeds at least as valuable as the derivative asset. the lower bound is the maximum amount one can borrow initially against the proceeds of the derivative asset. We show that, in some instances, this interval may be strictly bounded above by the price of the replicating strategy. Prima facie, the cost of a dominating strategy should appear to be higher than that of the replicating one. But because trading is costly, it may pay to weigh the benefits of replication against those of potential savings on transaction costs.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00039.x
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    ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We derive alternative representations of the McKean equation for the value of the American put option. Our main result decomposes the value of an American put option into the corresponding European put price and the early exercise premium. We then represent the European put price in a new manner. This representation allows us to alternatively decompose the price of an American put option into its intrinsic value and time value, and to demonstrate the equivalence of our results to the McKean equation.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00040.x
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    BOOK REVIEW (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: probability with martingales, by david williams
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00043.x
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    The Relationship Between Risk and Maturity In A Stochastic Setting (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper explores the interest rate sensitivity of the prices of bonds and other securities when the instantaneous interest rate follows a Markov process. We show that whenever the interest rate describes a diffusion process the sensitivity of zero-coupon bonds increases with maturity. More generally, we characterize the risk-maturity relationship for contingent claims. This investigation yields a new property of option prices in the case where the underlying security price is a diffusion.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00024.x
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    Option Pricing With V. G. Martingale Components (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00018.x
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    A Stochastic Extension of the Miller-Modigliani Framework (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper deals with the problem of the financial valuation of a firm and its shares of stock with general financing policies in a partial equilibrium framework. the model assumes a time-dependent discount rate and a general stochastic environment in a discrete-time setting. the fundamental valuation approach under the assumption of risk neutrality is used to obtain the time path of share price, the number of outstanding shares, and the value of the firm. These are shown to be the unique conditional expectations of certain stochastic processes. A broad class of firms for which the solution formula yields finite-valued solutions is characterized. the results are extended to the non-risk-neutral case. A regularity condition, which is both necessary and sufficient for the share price to equal the capitalization of future dividends accruing to the share, is obtained. As a mathematical aside, it is shown in the appendix that in the absence of this condition, the so-called stream of dividends approach is meaningless in the sense that it does not yield any financial valuation.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00019.x
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    ERRATUM: risk-Aversion Behavior In Consumption/Investment Problems (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00011.x
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    Editorial Policy (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00006.x
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    PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Stochastic dominance (SD) is a very useful tool in various areas of economics and finance. the purpose of this paper is to provide the results of SD relations developed in other areas such as applied probability which, we believe, are useful for many portfolio selection problems. In particular, the bivariate characterization of SD relations given by Shanthikumar and Yao (1991) is a powerful tool for the demand and the shift effect problems in optimal portfolios. the method enables one to extend many results that hold for the case where the underlying lying assets are statistically independent to the dependent case directly.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00116.x
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    MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We study the pricing of American options on two stocks without expiration date and with payoff functions which are positively homogeneous with respect to the two stock prices. Examples of such options are the perpetuai Margrabe option, whose payoff is the amount by which one stock outperforms the other, and the perpetual maximum option, whose payoff is the maximum of the two stock prices Our approach to pricing such options is to take advantage of their stationary nature and apply the optional sampling theorem to two martingales constructed with respect to the risk-neutral measure the optimal exercise boundaries, which do not vary with respect to the time variable, are determined by the smooth pasting or high contact condition the martingale approach avoids the use of differential equations.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00118.x
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    HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We derive a formula for the minimal initial wealth needed to hedge an arbitrary contingent claim in a continuous-time model with proportional transaction costs; the expression obtained can be interpreted as the supremum of expected discounted values of the claim, over all (pairs of) probability measures under which the “wealth process” is a supermartingale. Next, we prove the existence of an optimal solution to the portfolio optimization problem of maximizing utility from terminal wealth in the same model, we also characterize this solution via a transformation to a hedging problem: the optimal portfolio is the one that hedges the inverse of marginal utility evaluated at the shadow state-price density solving the corresponding dual problem, if such exists. We can then use the optimal shadow state-price density for pricing contingent claims in this market. the mathematical tools are those of continuous-time martingales, convex analysis, functional analysis, and duality theory.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00075.x
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    EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00078.x
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    MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00121.x
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    A YIELD-FACTOR MODEL OF INTEREST RATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with “stochastic volatility.” the yield of any zero-coupon bond is taken to be a maturity-dependent affine combination of the selected “basis” set of yields. We provide necessary and sufficient conditions on the stochastic model for this affine representation. We include numerical techniques for solving the model, as well as numerical techniques for calculating the prices of term-structure derivative prices. the case of jump diffusions is also considered.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00123.x
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    GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We consider a pure exchange economy consisting of a single risky asset whose dividend drift rate is modeled as an Omstein-Uhlenbeck process, and a representative agent with power-utility who, in equilibrium, consumes the dividend paid by the risky asset. Endogenously determined interest rates are found to be of the Vasicek (1977) type the mean and variance of the equilibrium stock price are stochastic and have mean-reverting components A closed-form solution for a standard call option is determined for the case of log-utility. Equilibrium values have interesting implications for the equity premium puzzle observed by Mehra and Prescott (1985)
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00120.x
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    VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a two-dimensional state variable Markov process. the permissible set of volatility structures that accomplishes this goal is shown to be quite large and includes many stochastic structures. In general, analytical characterization of the terminal distributions of the two state variables is unlikely, and numerical procedures are required to value claims. Efficient simulation algorithms using control variates are developed to price claims against the term structure.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00101.x
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  • 50
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    WHEN IS THE SHORT RATE MARKOVIAN? (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We answer this question in the very general context of the n-factor Heath, Jarrow, and Morton model for the evolution of the term structure of interest rates, with nonrandom volatility. the answer is that a constraint is imposed on the behavior of the volatility structure. We explain the importance of this result for the design of efficient numerical algorithms for the valuation of options on the term structure.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00060.x
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    CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT-SALE CONSTRAINTS IN THE FINITE-DIMENSIONAL CASE: SOME REMARKS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper extends He and Pearson's (1991) martingale approach to the study of optimal intertemporal consumption and portfolio policies with incomplete markets and short-sale constraints to a framework in which no assumptions are made on the price process for the securities. We show how both their characterization of the budget-feasible set and duality result can be extended to account for an unbounded set II of Arrow-Debreu state prices compatible with the arbitrage-free assumption. We also supply a (fairly general) sufficient condition for II to be bounded, as required in their setting.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00051.x
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    ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges, coupled with the optimal stopping time method. We extend our results to another interest rate contingent claim and provide a quasi-analytical solution for American yield option prices which illustrates the flexibility of our framework.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00045.x
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    Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00080.x
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    Option and Futures Evaluation With Deterministic Volatilities (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Several risk-neutral expectation formulae are derived in a general multifactor setting. Specializing to deterministic covariances of returns, they lead to formulae for forward and future prices as well as formulae for options on forward and futures contracts. the results are applicable to currencies, bonds, commodities with stochastic convenience yield, and stock indices. For currencies, a noarbitrage relation between domestic and foreign economies is formulated and applied to evaluate quanto futures and options.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00084.x
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    The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: The aim of this paper is to develop a model for the pricing of European options under the assumption of a stochastic interest rate in a discrete-time context. This is accomplished by combining the well-known binomial model for a stock with a binomial model for the spot interest rate.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00088.x
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    A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: An empirical version of the Cox, Ingersoll, and Ross (1985a) call option pricing model is derived, assuming execution price uncertainty in the options market. the pricing restrictions come in the form of moment conditions in the option pricing error. These can be estimated and tested using a version of the method of simulated moments (MSM). Simulation estimates, obtained by discretely approximating the risk-neutral processes of the underlying stock price and the interest rate, are substituted for analytically unknown call prices. the asymptotics and other aspects of the MSM estimator are discussed. the model is tested on transaction prices at 15-minute intervals. It substantially outperforms the Black-Scholes model. the empirical success of the Cox-Ingersoll-Ross model implies that the continuous-time interest rate implicit in synchronous transaction quotes of 90-day Treasury-bill futures contracts is an-albeit noisy-proxy for the instantaneous volatility on common stock. the process of the instantaneous volatility is found to be close to nonstationary. It is well approximated by a heteroskedastic unit-root process. With this approximation, the Cox-Ingersoll-Ross model only slightly overprices long-maturity options.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00091.x
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    OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We analyze the optimal risky investment policy for an investor who, at each point in time, wants to lose no more than a fixed percentage of the maximum value his wealth has achieved up to that time. In particular, if Mt is the maximum level of wealth W attained on or before time t, then the constraint imposed on his portfolio choice is that WtαMt, where α is an exogenous number betweenα O and 1. We show that, for constant relative risk aversion utility functions, the optimal policy involves an investment in risky assets at time t in proportion to the “surplus”Wt - αMt. the optimal policy may appear similar to the constant-proportion portfolio insurance policy analyzed in Black and Perold (1987) and Grossman and Vila (1989). However, in those papers, the investor keeps his wealth above a nonstochastic floor F instead of a stochastic floor αMt. the stochastic character of the floor studied here has interesting effects on the investment policy in states of nature when wealth is at an all-time high; i.e., when Wt =Mt. It can be shown that at Wt=Mt, αMt is expected to grow at a faster rate than Wt, and therefore the investment in the risky asset can be expected to fall. We also show that the investment in the risky asset can be expected to rise when Wt is close to αMt. We conjecture that in an equilibrium model the stochastic character of the floor creates “resistance” levels as the market approaches an all-time high (because of the reluctance of investors to take more risk when Wt=Mt).
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00044.x
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    A Jump/Diffusion Consumption-Based Capital Asset Pricing Model and the Equity Premium Puzzle (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper derives the equilibrium excess returns on risky assets in an exchange economy where the underlying exogenous uncertainty is a combination of a pure multidimensional jump process and a diffusion model. We derive closed-form solutions for the interest rate and the risk premiums on risky assets for a traditional class of separable utility indices. Our analysis demonstrates that when the underlying jumps of the aggregate consumption process are not negligible, then the traditional form of the consumption-based capital asset princing model need not hold and the asset risk premiums may be larger than predicted by the traditional CCAPM in continuous time, based on pure Itô diffusion processes. Our analysis suggests an explanation for the large estimates of the risk premiums reported in empirical tests of the single-beta CCAPM.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00079.x
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    Optimal Investment With Undiversifiable Income Risk (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper treats the problem of consumption and portfolio choice in continuous time, with stochastic income that cannot be replicated by trading the available securities. the optimal controls and value functions are characterized in terms of the viscosity solution of the associated Hamilton-Jacobi-Bellman equation, which is shown to exist and is characterized. the optimal policy is then given from the first-order conditions of the Hamilton-Jacobi-Bellman equation.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00083.x
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    Convergence of the Critical Price In the Approximation of American Options (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We consider the American put option in the Black-Scholes model. When the value of the option is computed through numerical methods (such as the binomial method and the finite difference method) the approximation yields an approximate critical price. We prove the convergence of this approximate critical price towards the exact critical price.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00086.x
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    On Some Exponential-Integral Functionals of Bessel Processes (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper studies the moments of some exponential-integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00090.x
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    A Microeconomic Approach to Diffusion Models For Stock Prices (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper studies a class of diffusion models for stock prices derived by a microeconomic approach. We consider discrete-time processes resulting from a market equilibrium and then apply an invariance principle to obtain a continuous-time model. the resulting process is an Ornstein-Uhlenbeck process in a random environment, and we analyze its qualitative behavior. In particular, we provide simple criteria for the stability or instability of the corresponding stock price model, and we give explicit formulae for the invariant distributions in the recurrent case.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00035.x
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    A Martingale Representation Result and an Application to Incomplete Financial Markets (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We establish necessary and sufficient conditions for an H1-martingale to be representable with respect to a collection, of local martingales. M H1(P) is representable if and only if M is a local martingale under all p.m.'s Q which are “uniformly equivalent” to P and which make all the elements of local martingales (Theorem 1.1). We then give necessary and sufficient conditions which are easier to verify, and only involve expectations (Theorem 1.2). We go on to apply these results to the problem of pricing claims in an incomplete financial market-establishing two conjectures of Harrison and Pliska(1981).
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00031.x
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    Pricing Options With Curved Boundaries (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper provides a general valuation method for the European options whose payoff is restricted by curved boundaries contractually set on the underlying asset price process when it follows the geometric Brownian motion. Our result is based on the generalization of the Levy formula on the Brownian motion by T. W. Anderson in sequential analysis. We give the explicit probability formula that the geometric Brownian motion reaches in an interval at the maturity date without hitting either the lower or the upper curved boundaries. Although the general pricing formulae for options with boundaries are expressed as infinite series in the general case, our numerical study suggests that the convergence of the series is rapid. Our results include the formulae for options with a lower boundary by Merton (1973), for path-dependent options by Goldman, Sossin, and Gatto (1979), and for some corporate securities as special cases.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00033.x
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    Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00028.x
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    OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper demonstrates the use of term-structure-related securities in the design of dynamic portfolio management strategies that hedge certain systematic jump risks in asset return. Option pricing formulas based on the absence of arbitrage opportunities in this context are also developed. the analysis is for the case where assets returns are driven by a finite number of Brownian motions and an m-variate point process. the inclusion of :the additional traded assets in the term structure makes it possible to hedge systematic jumps imbedded in the m variate point process.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00070.x
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    INCOMPLETE MARKETS IN INFINITE HORIZON: DEBT CONSTRAINTS VERSUS NODE PRICES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: The general equilibrium model with incomplete markets is here extended to infinite horizon economies populated by a finite number of infinitely lived agents. the crucial issue that divides the infinite horizon setting from the finite horizon setting is in the nature of borrowing constraints, which added to spot constraints, define a plausible budget set for individual agents. the paper relates seven alternative definitions of equilibrium and states corresponding equilibrium existence theorems when assets are one-period and purely financial.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00076.x
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    DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT? (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Ross (1976) has shown, in a static framework, how options can complete financial markets. This paper examines the possible extensions of Ross's idea in a dynamic setup. Surprisingly enough, we find that the answer is very sensitive to the choice of the stochastic model for the underlying security returns. More specifically we obtain the following results: In a discrete-time model, classical European options typically become redundant with some probability (Proposition 2.1). Obnly path dependent (“exotic”) options may generate dynamic spanning (Proposition 4.1). In a continuous-time model with stochastic volatility of the underlying security, and under reasonable assumptions, a European option is always a good instrument for completing markets (Proposition 5.2).
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00110.x
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    ANNOUNCEMENT (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00115.x
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    OPTIMAL INVESTMENT OF A LIFE INTEREST (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We consider the problem of a trustee faced with investing a sum of money, the interest from which will be received by one party (the life-tenant) during his lifetime while the capital will go to another party (the survivor) on the death of the life-tenant. We assume mat there are n+ 1 assets in which the trustee may invest—n risky assets of geometric Brownian motion type and one nonrisky asset. Under assumptions as to the utility functions of the two parties, we find the collection of Pareto optimal investment strategies for the trustee together with the corresponding payoffs. We do this by optimizing the payoff of the Lagrangian for the problem. We go on to present the Nash optimal solution for the trustee.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00068.x
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    OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We study optimal portfolio management policies for an investor who must pay a transaction cost equal to a fixed Traction of his portfolio value each time he trades. We focus on the infinite horizon objective function of maximizing the asymptotic growth rate, so me optimal policies we derive approximate those of an investor with logarithmic utility at a distant horizon. When investment opportunities are modeled as m correlated geometric Brownian motion stocks and a riskless bond, we show that the optimal policy reduces to solving a single stopping time problem. When there is a single risky stock, we give a system of equations whose solution determines the optima! rule. We use numerical methods to solve for the optima! policy when there are two risky stocks. We study several specific examples and observe the general qualitative result that, even with very low transaction cost levels, the optimal policy entails very infrequent trading.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00071.x
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    PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We examine the Morton and Pliska (1993) model for the optimal management of a portfolio when there are transaction costs proportional to a fixed fraction of the portfolio value. We analyze this model in the realistic case of small transaction costs by conducting a perturbation analysis about the no-transaction-cost solution. Although the full problem is a free-boundary diffusion problem in as many dimensions as there are assets in the portfolio, we find explicit solutions for the optimal trading policy in this limit. This makes the solution for a realistically large number of assets a practical possibility.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00072.x
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    ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: In this paper we derive the implications of the absence of arbitrage in securities markets models where traded securities are subject to short-sales constraints and where the borrowing and lending rates differ. We show that a securities price system is arbitrage free if and only if there exists a numeraire and an equivalent probability measure for which the normalized (by the numeraire) price processes of traded securities are supermartingales. Also, the tightest arbitrage bounds that can be inferred on the price of a contingent claim without knowing agents’preferences are equal to its largest and smallest expected normalized payoff with respect to the supermartingale measures. In the case where the underlying security price follows a diffusion process and where short selling is possible but costly, we derive partial differential equations that must be satisfied by the arbitrage bounds on derivative securities prices, and we determine optimal hedging strategies. We compute the arbitrage bounds on common securities numerically for several values of the borrowing and short-selling costs and show that they can be quite sharp.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00065.x
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    CRITICAL STOCK PRICE NEAR EXPIRATION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We study the critical price of an American put option near expiration in the Black-Scholes model. Our main result is an estimate for the difference P̄ (t)- K between the critical price at time t and the exercise price as t approaches the maturity of the option.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00103.x
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    TAKEOVERS OF DIFFUSELY HELD FIRMS: A NONSTANDARD APPROACH (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: A common theme in the literature on corporate control is that, when share ownership is diffuse, the free-rider problem prevents raiders from making acquisitions at tender prices below the postacquisition share price. In this paper, we address this question by formulating a nonstandard model of takeovers of diffusely held firms. It is demonstrated that, even when individual shareholdings are infinitesimal relative to firm size, takeovers succeed with positive probability and equilibria exist in which the raider earns substantial per share profits. Further, the Nash equilibria of the game are characterized with regard to raider profit, the aggregate fraction of shares tendered, and the relation between raider profit and the degree of randomization exhibited by shareholder tendering strategies.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00067.x
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    ISOLATING THE WILD CARD OPTION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Many embedded options are difficult to value the wild card option in the Treasury bond futures contract is one of these embedded options. We illustrate how narrow theoretical bounds on the value of this option, relative to the price of the contract, may be obtained in the presence of other embedded options. Simulations suggest that the value of the wild card option is close to zero. This implies that, in this economy, a simpler pricing model of the Treasury bond futures contract, which ignores the wild card option, will result in only a small loss of accuracy.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00107.x
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    TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: The value of a future cash stream is often taken to be its net present value with respect to some term structure. This means that a linear formula is used in which each future payment is discounted by a factor deemed appropriate for the date on which the payment will be made. In a money market with taxes and shorting costs, however, there is no theoretical support for the existence of a universal term structure for this purpose. What is worse, reliance on linear formulas can be seriously inaccurate relative to true worth and can lead to paradoxes of disequilibrium. A consistent no-arbitrage theory of valuation in such a market requires instead that taxed and untaxed investors be grouped in separate classes with different valuation operators. Such operators are linear to scale but nonlinear with respect to addition. Here it is established that although these valuation operators provide general bounds applicable across an entire class, individual investors within a tax class can have more special operators because of the influence of existing holdings. These customized valuation operators have the feature of not even being linear to scale. In consequence of this nonlinearity, investors from the same or different tax classes can undertake advantageous trades even when the market is in a no-arbitrage state, but such trade opportunities are limited. Some degree of activity in financial markets can thereby be understood without appeal to differences in utility functions or temporary disequilibrium due to random disturbances.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00104.x
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    FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We consider a two-country economy under the nonarbitrage assumption and where volatilities are stochastic. Assuming the existence of state variables, we show that, under some mild volatility assumptions, the model is actually fully specified. In particular, both term structure dynamics and the exchange rate process can be given endogeneously under the risk-neutral probability. We then derive the exact dependence of the zero-coupon bonds and the exchange rate on the underlying state variables. As a result, some closed-form solutions can be proposed for the derivative assets as futures and options written on foreign zero-coupon bonds.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00108.x
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    THE GARCH OPTION PRICING MODEL (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This article develops an option pricing model and its corresponding delta formula in the context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return process. the development utilizes the locally risk-neutral valuation relationship (LRNVR). the LRNVR is shown to hold under certain combinations of preference and distribution assumptions. the GARCH option pricing model is capable of reflecting the changes in the conditional volatility of the underlying asset in a parsimonious manner. Numerical analyses suggest that the GARCH model may be able to explain some well-documented systematic biases associated with the Black-Scholes model.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00099.x
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    ARBITRAGE AND INFORMATION IN A SEQUENTIAL ECONOMY WITH MANY CREDIT AGENCIES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper augments the theoretical foundations of organized commodity futures markets and uncovers singular facts about arbitrage and the role of information. Using the term “credit agency” to embrace organized futures markets such as the Chicago Board of Trade as well as independent brokerage houses, we extend the extant theory of temporary equilibrium for an economy with a single credit agency to economies with many credit agencies. In the process, we find that arbitrage with no risk of bankruptcy and with perfect interagency trade information can be incompatible with equilibrium (exact or approximate). On the other hand, the usual regularity assumptions are sufficient for the existence of at least an approximate equilibrium, provided that interagency trade information is imperfect (or risky). However, such imperfect information limits arbitrage so different agencies can have different prices.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00100.x
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    CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Given a sequence of discrete-time option valuation models in which the sequence of processes defining the state variables converges weakly to a diffusion, we prove that the sequence of American option values obtained from these discrete-time models also converges to the corresponding value obtained from the continuous-time model for the standard models in the finance/economics literature. the convergence proof carries over to the case when the limiting risky asset price process follows a diffusion, except it pays discrete dividends on some fixed dates.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00059.x
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  • 82
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    THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: The note deals with the pricing of American options related to foreign market equities. the form of the early exercise premium representation of the American option's price in a stochastic interest rate economy is established. Subsequently, the American fixed exchange rate foreign equity option and the American equity-linked foreign exchange option are studied in detail.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00061.x
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    ERRATUM (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00096.x
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  • 84
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    A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Working within the Heath-Jarrow-Morton framework and using the theory of stochastic equations in infinite dimensions, a useful multifactor Gauss-Markov model for the movement of the whole of the yield curve is derived. Swaptions are priced. They are hedged by eliminating random terms between the semimartingale representations of the swaption and hedging instruments. Hedging efficiency is analyzed. the model is fitted to the swap/cap strips in Australia. Computation times on a 20-MHz laptop computer are acceptable.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00095.x
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  • 85
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    A PRICING OPERATOR-BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This paper develops a cross-market version of factor pricing models. It is shown that exact factor pricing holds across two submarkets with respect to their common factors if and only if the unique pricing operator for the first submarket is equal to that for the other submarket with probability 1. We define an APT measure as the squared distance between the two pricing operators. Then, testing whether this measure is zero is equivalent to testing exact factor pricing across the two submarkets. Since the estimation of this measure does not require parameterizing and extracting the underlying factors, one can test factor pricing models without knowing any factors. In addition, we present a randomization procedure so that one can use it to conduct a more comprehensive investigation on the empirical robustness of factor pricing models.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00053.x
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  • 86
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    MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: This article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of complex financial contracts involving embedded options.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00055.x
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  • 87
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    THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Threshold autoregressive (TAR) models condition the first moment of a time series on lagged information using a step-function-type nonlinear structure. TAR techniques are expected to be relevant in financial time-series modeling in situations where deviations of prices from equilibrium values depend on discrete transaction costs and where market regulators follow intervention rules based on threshold values of control variables. an important finance application is in modeling the difference in prices of equivalent assets in the presence of transaction costs. the focus of this paper is on motivating the use of TAR models in this context and on the statistical estimation and testing procedures. the procedures are illustrated by modeling the difference between the prices of an index futures contract and the equivalent underlying cash index. It is found that the hypothesis of linearity is conclusively rejected in favor of threshold nonlinearity and that the estimated thresholds are largely consistent with arbitrage-related transaction costs.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00058.x
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  • 88
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    MARTINGALE MEASURES FOR DISCRETE-TIME PROCESSES WITH INFINITE HORIZON (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Let (St)tεI be an Rd-valued adapted stochastic process on (Ω, ?, (?t)tεI, P). A basic problem occurring notably in the analysis of securities markets, is to decide whether there is a probability measure Q on ? equivalent to P such that (St)tεI is a martingale with respect to Q. It is known (see the fundamental papers of Harrison and Kreps 1979; Harrison and Pliska 1981; and Kreps 1981) that there is an intimate relation of this problem with the notions of “no arbitrage” and “no free lunch” in financial economics. We introduce the intermediate concept of “no free lunch with bounded risk.” This is a somewhat more precise version of the notion of “no free lunch.” It requires an absolute bound of the maximal loss occurring in the trading strategies considered in the definition of “no free lunch.” We give an argument as to why the condition of “no free lunch with bounded risk” should be satisfied by a reasonable model of the price process (St)tεI of a securities market. We can establish the equivalence of the condition of “no free lunch with bounded risk” with the existence of an equivalent martingale measure in the case when the index set I is discrete but (possibly) infinite. A similar theorem was recently obtained by Delbaen (1992) for continuous-time processes with continuous paths. We can combine these two theorems to get a similar result for the continuous-time case when the process (St)tεR+ is bounded and, roughly speaking, the jumps occur at predictable times. In the infinite horizon setting, the price process has to be “almost a martingale” in order to allow an equivalent martingale measure.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00048.x
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  • 89
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    BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Using Bessel processes, one can solve several open problems involving the integral of an exponential of Brownian motion. This point will be illustrated with three examples. The first one is a formula for the Laplace transform of an Asian option which is “out of the money.”The second example concerns volatility misspecification in portfolio insurance strategies, when the stochastic volatility is represented by the Hull and White model. The third one is the valuation of perpetuities or annuities under stochastic interest rates within the Cox-Ingersoll-Ross framework. Moreover, without using time changes or Bessel processes, but only simple probabilistic methods, we obtain further results about Asian options: the computation of the moments of all orders of an arithmetic average of geometric Brownian motion; the property that, in contrast with most of what has been written so far, the Asian option may be more expensive than the standard option (e.g., options on currencies or oil spreads); and a simple, closed-form expression of the Asian option price when the option is “in the money,” thereby illuminating the impact on the Asian option price of the revealed underlying asset price as time goes by. This formula has an interesting resemblance with the Black-Scholes formula, even though the comparison cannot be carried too far.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00092.x
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  • 90
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    DISCONTINUOUS ASSET PRICES AND NON-ATTAINABLE CONTINGENT CLAIMS (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: The price of a risky asset § is described by a Markov diffusion with jumps. In general there may be many equivalent martingale measures. Contingent claims which depend on the price of § at some time T may not be attainable, and the market may not be complete. However, using a martingale representation result, the local risk-minimizing strategy is explicitly constructed. This in turn provides a new motivation for the concept of the minimal martingale measure.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00046.x
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    Consols In the Cir Model (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: A consol is a default-free financial instrument paying a constant stream of one unit of money. A synonym is a perpetuity. the valuation of a consol presents a particular difficulty: the time horizon of this instrument is infinity, and hence the usual technique of replacing the physical probability measure by a new probability measure represents serious problems with regard to absolute continuity of the two measures. We will work out explicit formulas when the instantaneous riskless interest rate follows a square-root process under the risk-free measure. Several mathematical properties will be investigated. Yor and Geman and Yor have considered the problem of pricing consols and carry out a more fundamental analysis (see References). This paper is self-contained and emphasizes properties or techniques not covered by those authors.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00082.x
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  • 92
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    Option Pricing Under Incompleteness and Stochastic Volatility (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We consider a very general diffusion model for asset prices which allows the description of stochastic and past-dependent volatilities. Since this model typically yields an incomplete market, we show that for the purpose of pricing options, a small investor should use the minimal equivalent martingale measure associated to the underlying stock price process. Then we present stochastic numerical methods permitting the explicit computation of option prices and hedging strategies, and we illustrate our approach by specific examples.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00027.x
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    From Discrete- to Continuous-Time Finance: Weak Convergence of the Financial Gain Process (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Conditions suitable for applications in finance are given for the weak convergence (or convergence in probability) of stochastic integrals. For example, consider a sequence Sn of security price processes converging in distribution to S and a sequence θn of trading strategies converging in distribution to θ. We survey conditions under which the financial gain process θn dSn converges in distribution to θ dS. Examples include convergence from discrete- to continuous-time settings and, in particular, generalizations of the convergence of binomial option replication models to the Black-Scholes model. Counterexamples are also provided.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00022.x
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    ANNOUNCEMENT (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00026.x
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    BOOK REVIEW (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Book review in this Article financial engineering: a handbook of derivative products, by S. eckl, J. N. robinson, and D. C. Thomas
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00021.x
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    Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We use a martingale approach to study optimal intertemporal consumption and portfolio policies in a general discrete-time, discrete-state-space securities market with dynamically incomplete markets and short-sale constraints. We characterize the set of feasible consumption bundles as the budget-feasible set defined by constraints formed using the extreme points of the closure of the set of Arrow-Debreu state prices consistent with no arbitrage, and then establish a relationship between the original problem and a dual minimization problem.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00012.x
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    Arbitrage Values Generally Depend On A Parametric Rate of Return (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Let X denote a positive Markov stochastic integral, and let S(t, μ) = exp(μt)X(t) represent the price of a security at time t with infinitesimal rate of return μ. Contingent claim (option) pricing formulas typically do not depend on μ. We show that if a contingent claim is not equivalent to a call option having exercise price equal to zero, then security prices having this property—option prices do not depend on μ—must satisfy: for some V (0, T), In(S(t, μ)X(V)) is Gaussian on a time interval [V, T], and hence S(t, μ) has independent observed returns. With more assumptions, V= 0, and there exist equivalent martingale measures.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00015.x
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    Optimal Stopping and the American Put (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We show that the problem of pricing the American put is equivalent to solving an optimal stopping problem. the optimal stopping problem gives rise to a parabolic free-boundary problem. We show there is a unique solution to this problem which has a lower boundary. We identify an integral equation solved by the boundary and show that it is the unique solution to this equation satisfying certain natural additional conditions. the proofs also give a natural decomposition of the price of the American option as the sum of the price of the European option and an “American premium.”
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00007.x
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    Editorial Policy (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00001.x
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    Universal Portfolios (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: We exhibit an algorithm for portfolio selection that asymptotically outperforms the best stock in the market. Let xi= (xi, xi2,…, xim)t denote the performance of the stock market on day i, where xii is the factor by which the jth stock increases on day i. Let bi= (bi1 bi2, bim)t, b;ij≫ 0, bij= 1, denote the proportion bij of wealth invested in the j th stock on day i. Then Sn= IIin= bitxi is the factor by which wealth is increased in n trading days. Consider as a goal the wealth Sn*= maxb IIin=1 btxi that can be achieved by the best constant rebalanced portfolio chosen after the stock outcomes are revealed. It can be shown that Sn * exceeds the best stock, the Dow Jones average, and the value line index at time n. In fact, Sn* usually exceeds these quantities by an exponential factor. Let x1, x2, be an arbitrary sequence of market vectors. It will be shown that the nonanticipating sequence of portfolios 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI1:MAFI_1_mu1" location="equation/MAFI_1_mu1.gif"/〉 db yields wealth 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI1:MAFI_1_mu2" location="equation/MAFI_1_mu2.gif"/〉 such that 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI1:MAFI_1_mu3" location="equation/MAFI_1_mu3.gif"/〉, for every bounded sequence x1, x2…, and, under mild conditions, achieve〈displayedItem type="mathematics" xml:id="mu4" numbered="no"〉〈mediaResource alt="image" href="urn:x-wiley:09601627:MAFI1:MAFI_1_mu4"/〉where J, is an (m - 1) x (m - I) sensitivity matrix. Thus this portfolio strategy has the same exponential rate of growth as the apparently unachievable S*n.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00002.x
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