Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Marti G. Subrahmanyam"'
Publikováno v:
Production and Operations Management. 14:1-4
Autor:
Henri Loubergé, Marti G. Subrahmanyam
Financial Risk and Derivatives provides an excellent illustration of the links that have developed in recent years between the theory of finance on one hand and insurance economics and actuarial science on the other. Advances in contingent claims ana
Publikováno v:
European Financial Management. 4:9-27
In general, the risk of a financial instrument on a future valuation date depends on several stochastic variables. In the case of a currency swap, its value on a future date, can be modelled as a function of five stochastic variables. These represent
Publikováno v:
Journal of Banking & Finance. 21:1487-1513
We value American options on bonds using a generalization of the Geske–Johnson (Geske, R., Johnson, H., 1984. Journal of Finance 39, 1151–1542) (GJ) technique. The method requires the valuation of European options, and options with multiple exerc
Publikováno v:
The Journal of Finance. 52:827-840
The Geske-Johnson approach provides an efficient and intuitively appealing technique for the valuation and hedging of American-style contingent claims. Here, the authors generalize their approach to a stochastic interest rate economy. The method is i
Publikováno v:
SSRN Electronic Journal.
The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor) are two key market benchmark interest rates used in a plethora of financial contracts with notional amounts running into the hundreds of trillions of dollars. The
Autor:
Marti G. Subrahmanyam
Publikováno v:
The Geneva Papers on Risk and Insurance Theory. 21(1):7-28
One of the most active areas of research in financial economics has been the modeling of the term structure of interest rates and its relationship to the pricing of contingent claims. There is a vast array of issues in the area, as well as a variety
Publikováno v:
Financial Analysts Journal. 50:25-28
Publikováno v:
Journal of Banking & Finance. 17:1079-1095
This paper provides a simple, alternative model for the valuation of European-style interest rate options. The assumption that drives the hedging argument in the model is that the forward prices of bonds follow an arbitrary two-state process. Later,
Summary. We consider the demand for state-contingent claims, in the presence of an independent zero-mean, non-hedgeable background risk. An agent is defined to be generalized risk averse if he/she chooses a demand function for contingent claims with
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