Zobrazeno 1 - 10
of 57
pro vyhledávání: '"ANDREA MACRINA"'
Autor:
Andrea Macrina, David Skovmand
Publikováno v:
Risks, Vol 8, Iss 1, p 23 (2020)
Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued by the end of 2021 and superseded by what ISDA calls an adjusted risk-free rate (RFR). ISDA has recently announced that the LIBOR
Externí odkaz:
https://doaj.org/article/6f67fddac2694f65b99d2914816e986b
Autor:
Andrea Macrina, Obeid Mahomed
Publikováno v:
Risks, Vol 6, Iss 1, p 18 (2018)
The general problem of asset pricing when the discount rate differs from the rate at which an asset’s cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified b
Externí odkaz:
https://doaj.org/article/61f7b448be774b5fbb5fd14728dd4f13
Publikováno v:
Financial Informatics. :i-xx
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f82ff50d92074e8f57a5c8318e553a18
https://doi.org/10.1142/9789811246494_fmatter
https://doi.org/10.1142/9789811246494_fmatter
Publikováno v:
Dam, H T, Macrina, A, Skovmand, D G & Sloth, D 2020, ' Rational Models for Inflation-linked Derivatives ', SIAM Journal on Financial Mathematics, vol. 11, no. 4, pp. 974-1006 . https://doi.org/10.1137/18M1235764
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac31db230c423d6122a216328ac55ffb
https://doi.org/10.1137/18m1235764
https://doi.org/10.1137/18m1235764
Alignment of financial market incentives and carbon emissions disincentives is key to limiting global warming. Regulators and standards bodies have made a start by requiring some carbon-related disclosures and proposing others. Here we go further and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2421a5e56da91d7ee027b22da31352b6
http://arxiv.org/abs/2202.07689
http://arxiv.org/abs/2202.07689
Publikováno v:
Applied and Numerical Harmonic Analysis ISBN: 9780817645441
A new approach to credit risk modelling is introduced that avoids the use of inaccessible stopping times. Default events are associated directly with the failure of obligors to make contractually agreed payments. Noisy information about impending cas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7d511a92eeae65670d35f7b078f27663
https://doi.org/10.1142/9789811246494_0001
https://doi.org/10.1142/9789811246494_0001