Zobrazeno 1 - 10
of 145
pro vyhledávání: '"Linetsky, Vadim"'
Autor:
Qin, Likuan, Linetsky, Vadim
This paper proves existence of the long bond, long forward measure and long-term factorization of the stochastic discount factor (SDF) of Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) in Heath-Jarrow-Morton (HJM) models in the function
Externí odkaz:
http://arxiv.org/abs/1610.00818
Autor:
Qin, Likuan, Linetsky, Vadim
This paper constructs and studies the long-term factorization of affine pricing kernels into discounting at the rate of return on the long bond and the martingale component that accomplishes the change of probability measure to the long forward measu
Externí odkaz:
http://arxiv.org/abs/1610.00778
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond Sharpe ra
Externí odkaz:
http://arxiv.org/abs/1601.06477
Akademický článek
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Autor:
Qin, Likuan, Linetsky, Vadim
This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process (BRP)) and the stochastic discount factor (SD
Externí odkaz:
http://arxiv.org/abs/1411.3075
Autor:
Qin, Likuan, Linetsky, Vadim
This paper extends the long-term factorization of the stochastic discount factor introduced and studied by Alvarez and Jermann (2005) in discretetime ergodic environments and by Hansen and Scheinkman (2009) and Hansen (2012) in Markovian environments
Externí odkaz:
http://arxiv.org/abs/1411.3078
Publikováno v:
Annals of Applied Probability 2014, Vol. 24, No. 2, 811-856
The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-variate process $(X,D)$ of a diffusion state variable $X$ driving defau
Externí odkaz:
http://arxiv.org/abs/1403.5402
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on the eigenfu
Externí odkaz:
http://arxiv.org/abs/1206.5046
Autor:
Li, Lingfei, Linetsky, Vadim
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-reverting jumps, study their equivalent measure tr
Externí odkaz:
http://arxiv.org/abs/1204.3679
Publikováno v:
The Review of Financial Studies, 2018 Dec 01. 31(12), 4863-4883.
Externí odkaz:
https://www.jstor.org/stable/48616907
