Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Matteo Michielon"'
The credit default swap (CDS) market plays an important role for financial institutions. This is not only for their trading activities, but also as it provides a source of information to extract default probabilities to be used for (counterparty) cre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f9ea97312b56b823a158f44b2ea11c7c
https://doi.org/10.1142/S2424786322500372
https://doi.org/10.1142/S2424786322500372
Publikováno v:
Annals of Operations Research.
Credit risk plays a key role in financial modeling, and financial institutions are required to incorporate it in their pricing, as well as in capital requirement calculations. A common manner to extract credit worthiness information for existing and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d761e867482b618f49906e8dfc7b7eda
https://doi.org/10.1007/s10479-022-04552-3
https://doi.org/10.1007/s10479-022-04552-3
Publikováno v:
International Journal of Financial Engineering, 8, 4, pp. 1-27
International Journal of Financial Engineering, 8(4):2150041
International Journal of Financial Engineering, 8, 1-27
International Journal of Financial Engineering, 8(4):2150041
International Journal of Financial Engineering, 8, 1-27
In this paper, we consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allow
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ba1a756fa5575e18b04091f71a4de613
Publikováno v:
International Journal of Theoretical and Applied Finance, 24(3):2150017. World Scientific Publishing Co. Pte. Ltd.
International Journal of Theoretical and Applied Finance, 24, 1
International Journal of Theoretical and Applied Finance, 24, 03, pp. 1
International Journal of Theoretical and Applied Finance, 24, 1
International Journal of Theoretical and Applied Finance, 24, 03, pp. 1
Risk-neutral default probabilities can be implied from credit default swap (CDS) market quotes. In practice, mid-CDS quotes are used as inputs, as their risk-neutral counterparts are not observable. We show how to imply risk-neutral default probabili
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f2f3b4ff316c4cdaaa64318e9e3c31d6
https://doi.org/10.1142/S0219024921500175
https://doi.org/10.1142/S0219024921500175
Publikováno v:
International Journal of Theoretical and Applied Finance. 23:2050028
The market for cash-settled swaptions has changed its quotation conventions. Cash-settled zero-wide collars struck at the swap-settled forward have started trading at nonzero prices. Apart from full-fledged term-structure models, a simple arbitrage-f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6b3b3606914c18c223b49f42f58f105c
https://doi.org/10.1142/s0219024920500284
https://doi.org/10.1142/s0219024920500284
Publikováno v:
SSRN Electronic Journal.
The market for cash-settled swaptions has changed its quotation conventions. Cash-settled zero-wide collars struck at the swap-settled forward have started trading at non-zero prices. Apart from full- fledged term-structure models, a simple arbitrage
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8105f3651fb683cd7040abd2c13a1750
https://doi.org/10.2139/ssrn.3041228
https://doi.org/10.2139/ssrn.3041228
Publikováno v:
Van Bakel, S, Borovkova, S & Michielon, M 2020, ' Conic cva and dva for option portfolios ', International Journal of Theoretical and Applied Finance, vol. 23, no. 5, 2050032 . https://doi.org/10.1142/S0219024920500326
International Journal of Theoretical and Applied Finance, 23(5):2050032. World Scientific Publishing Co. Pte Ltd
International Journal of Theoretical and Applied Finance, 23(5):2050032. World Scientific Publishing Co. Pte Ltd
In this paper, we propose a framework for credit and debit valuation adjustments (CVA and DVA, respectively) for options and option portfolios which is based on conic finance, that is, where the positions are valued at their bid or ask prices dependi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c5e113a5c294c43cf6db6555ef848d0e
https://doi.org/10.2139/ssrn.2997065
https://doi.org/10.2139/ssrn.2997065