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  • Articles  (95,572)
  • 1995-1999  (85,144)
  • 1955-1959  (7,480)
  • 1940-1944  (2,948)
  • Mathematics  (95,572)
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  • 1
    Electronic Resource
    Electronic Resource
    Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds (1999)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc
    Mathematical finance 9 (1999), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The time evolution of a sliding bond is studied in discrete- and continuous-time setups. By definition, a sliding bond represents the price process of a discount bond with a fixed time to maturity. Examples of measure-valued trading strategies (introduced by Bj"ork et al. 1997a, 1997b) which are based on the price process of a sliding bond are discussed. In particular, a self-financing strategy that involves holding at any time one unit of a sliding bond is examined (the wealth process of this strategy is referred to as the rolling-horizon bond). In contrast to the sliding bond, which does not represent a tradable security, the rolling-horizon bond (or the rolling-consol bond) may play the role of a fixed-income security with infinite lifespan in portfolio management problems.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00074
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  • 2
    Electronic Resource
    Electronic Resource
    Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In an incomplete market framework, contingent claims are of particular interest since they improve the market efficiency. This paper addresses the problem of market completeness when trading in contingent claims is allowed. We extend recent results by Bajeux and Rochet (1996) in a stochastic volatility model to the case where the asset price and its volatility variations are correlated. We also relate the ability of a given contingent claim to complete the market to the convexity of its price function in the current asset price. This allows us to state our results for general contingent claims by examining the convexity of their “admissible arbitrage prices.”
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00038
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  • 3
    Electronic Resource
    Electronic Resource
    Bond Market Structure in the Presence of Marked Point Processes (1997)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We investigate the term structure of zero coupon bonds when interest rates are driven by a general marked point process as well as by a Wiener process. Developing a theory that allows for measure–valued trading portfolios, we study existence and uniqueness of a martingale measure. We also study completeness and its relation to the uniqueness of a martingale measure. For the case of a finite jump spectrum we give a fairly general completeness result and for a Wiener–Poisson model we prove the existence of a time–independent set of basic bonds. We also give sufficient conditions for the existence of an affine term structure.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00031
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  • 4
    Electronic Resource
    Electronic Resource
    Arbitrage with Fractional Brownian Motion (1997)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Fractional Brownian motion has been suggested as a model for the movement of log share prices which would allow long–range dependence between returns on different days. While this is true, it also allows arbitrage opportunities, which we demonstrate both indirectly and by constructing such an arbitrage. Nonetheless, it is possible by looking at a process similar to the fractional Brownian motion to model long–range dependence of returns while avoiding arbitrage.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00025
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  • 5
    Electronic Resource
    Electronic Resource
    A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures (1997)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The lognormal distribution assumption for the term structure of interest is the most natural way to exclude negative spot and forward rates. However, imposing this assumption on the continuously compounded interest rate has a serious drawback: rates explode and expected rollover returns are infinite even if the rollover period is arbitrarily short. As a consequence, such models cannot price one of the most widely used hedging instruments on the Euromoney market, namely the Eurodollar futures contract.The purpose of this note is to show that the problems with lognormal models result from modeling the wrong rate, namely the continuously compounded rate. If instead one models the effective annual rate these problems disappear.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00027
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  • 6
    Electronic Resource
    Electronic Resource
    Backward Stochastic Differential Equations in Finance (1997)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We are concerned with different properties of backward stochastic differential equations and their applications to finance. These equations, first introduced by Pardoux and Peng (1990), are useful for the theory of contingent claim valuation, especially cases with constraints and for the theory of recursive utilities, introduced by Duffie and Epstein (1992a, 1992b).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00022
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  • 7
    Electronic Resource
    Electronic Resource
    Pricing Barrier Options with Time–Dependent Coefficients (1997)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of pricing derivative securities which involve a barrier clause. We give general techniques to calculate, or estimate accurately, barrier option prices, using methods for estimating diffusion process boundary hitting times. The solution gives a simple, easy–to–use, method for calculating barrier option prices.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00024
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  • 8
    Electronic Resource
    Electronic Resource
    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
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00124.x
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  • 9
    Electronic Resource
    Electronic Resource
    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
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00122.x
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  • 10
    Electronic Resource
    Electronic Resource
    CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: 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).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00119.x
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