Página 1 dos resultados de 52 itens digitais encontrados em 0.017 segundos

Determinação entrópica do preço racional da opção européia simples ordinária sobre ação e bond: uma aplicação da teoria da informação em finanças em condição de incerteza; Entropic approach to rational pricing of the simple ordinary option of european-type over stock and bond: an application of information theory in finance under uncertainty

Siqueira, José de Oliveira
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 17/12/1999 Português
Relevância na Pesquisa
56%
Esta tese promove uma integração entre Finanças e Teoria de Informação para criação de um ambiente alternativo para a determinação do preço racional da opção européia simples ordinária sobre ação e ativo de renda fixa (bond). Uma das características deste novo ambiente de determinação de preço racional é poder continuar utilizando o cálculo newtoniano em vez do estocástico. Cria uma notação matemática precisa e completa para a Teoria da Informação e a integra com a teoria de Finanças em condições de incerteza. Integra as abordagens entrópicas de determinação do preço racional da opção européia simples ordinária de Gulko (1998 e 1998a) e de Yang (1997). Define precisamente o mundo com preço da incerteza neutralizado (risk-neutral world), o mundo martingale, o mundo informacionalmente eficiente e o mundo entrópico e suas implicações para a Ciência do Investimento e, mais especificamente, para a determinação do preço racional de ativos básicos e derivativos. Demonstra detalhadamente a fórmula do preço racional da opção européia simples ordinária de Black-Scholes-Merton, melhorando a notação matemática, simplificando (eliminando a abordagem martingale) e complementando a demonstração feita por Baxter & Rennie (1998). Interrompe uma sucessão de trabalhos que estabelecem uma forma equivocada de calcular o preço da opção européia simples ordinária. Esse erro teve sua origem...

Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

Ardison, Kym Marcel Martins
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
75.95%
This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

What drives corporate default risk premia? Evidence from the CDS market

Díaz, A.; Groba, J.; Serrano, P.
Fonte: Instituto Politécnico de Lisboa Publicador: Instituto Politécnico de Lisboa
Tipo: Conferência ou Objeto de Conferência
Publicado em /04/2011 Português
Relevância na Pesquisa
45.82%
This paper studies the evolution of the default risk premia for European firms during the years surrounding the recent credit crisis. We employ the information embedded in Credit Default Swaps (CDS) and Moody’s KMV EDF default probabilities to analyze the common factors driving this risk premia. The risk premium is characterized in several directions: Firstly, we perform a panel data analysis to capture the relationship between CDS spreads and actual default probabilities. Secondly, we employ the intensity framework of Jarrow et al. (2005) in order to measure the theoretical effect of risk premium on expected bond returns. Thirdly, we carry out a dynamic panel data to identify the macroeconomic sources of risk premium. Finally, a vector autoregressive model analyzes which proportion of the co-movement is attributable to financial or macro variables. Our estimations report coefficients for risk premium substantially higher than previously referred for US firms and a time varying behavior. A dominant factor explains around 60% of the common movements in risk premia. Additionally, empirical evidence suggests a public-to-private risk transfer between the sovereign CDS spreads and corporate risk premia.

Modelling power market and pricing electricity derivatives in a regime switching framework.

Hamada, Ahmed Sayfeddine
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2014 Português
Relevância na Pesquisa
45.77%
The deregulation of power market has led to an increase in risk for both consumers and producers when trading the underlying. Random price variations require a proper risk hedging strategy; related securities like forwards, options and swaps are the main derivatives that investors resort to in order to reduce the risk. The electricity spot price however has a particular behaviour, a consequence of the physical nature of the underlying. The non elastic offer rate causes the market equilibrium price to jump to extreme high or low levels in addition to the mean reversion and seasonality effects. After the Introduction to the thesis contents and the background given in Chapter I, Chapter II and III develop pricing using a stochastic discount factor with applications to power derivatives. Because of the multiple sources of randomness, the power market is incomplete and any risk neutral probability measure is not unique. Pricing derivatives under the historical measure using a stochastic discount factor is one way to overcome this issue. Chapter IV investigate a different type of power pricing model. We suggest a general form for the spot price model where the randomness is given by a compensated pure jump process. Chapter V considers a new model for electricity spot price driven by a unobserved Markov jump process and the jumps are modelled using an independent Markov chain driving the jump size. In the presence of an unobserved process...

Stochastic measures of arbitrage

Balbás, Alejandro; Muñoz-Bouzo, María José
Fonte: Springer Berlin / Heidelberg Publicador: Springer Berlin / Heidelberg
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em //2002 Português
Relevância na Pesquisa
55.7%
Empirical research has provided evidence supporting the existence of arbitrage opportunities in real financial markets although market imperfections are often the main reason to explain these empirical deviations. Consequently, recent literature has turned the attention to imperfect markets in order to extend the most significant results on asset pricing. This paper develops several stochastic measures providing relative arbitrage earnings available in a financial market. The measures allow us to take into account different type of frictions. They are introduced by means of several dual pairs of vector optimization problems. Primal problems permit us to characterize the arbitrage absence even in an imperfect market and they also provide optimal arbitrage portfolios if the arbitrage absence fails. Dual ones allow us to extend the risk-neutral valuation methodology for imperfect and noarbitrage free markets and provide new interpretations for the measures in terms of “frictions effect” or “committed errors” in the valuation process.

Integration and arbitrage in the spanish financial markets: an empirical approach

Balbás, Alejandro; Longarela, Iñaki R.; Pardo, Ángel
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /12/1997 Português
Relevância na Pesquisa
65.9%
Several authors have introduced different ways to measure the integration between fmancial markets. Most of them are derived from the basic assumptions to price assets, like the Law of One Price or the absence of arbitrage opportunities. Two perfectly integrated markets must give identical price to identical fmal payoffs, and a vector of positive discount factors, common to both markets, must exist. Therefore, if these properties do not hold, their degree of violation can be measured and considered as an integration measure. The present paper empirically test the integration measures in the Spanish fmancial markets. Hence, several interesting values are obtained, like for instance, the state prices or the risk-neutral probabilities. Furthermore, when the risk-neutral probabilities do not exist, explicit cross-market arbitrage portfolios are detected. The results of our test are surprising for several reasons. First of all, the arbitrage opportunities very often appear, and the bid-ask spread and the transaction costs are not able to avoid the arbitrage profits. Furthermore, the criticisms, which are usually argued when empirical papers show the existence of arbitrage opportunities, do not apply here, since we work with perfectly synchronized high frequency data. On the other hand...

Dynamic interest-rate modelling in incomplete markets

Pérez Colino, Jesús
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/doctoralThesis; info:eu-repo/semantics/doctoralThesis Formato: application/pdf
Português
Relevância na Pesquisa
45.95%
In the first chapter, a new kind of additive process is proposed. Our main goal is to define, characterize and prove the existence of the LIBOR additive process as a new stochastic process. This process will be defined as a piecewise stationary process with independent increments, continuous in probability but with discontinuous trajectories, and having "càdlàg" sample paths. The proposed process is specically designed to derive interest-rates modelling because it allows us to introduce a jump-term structure as an increasing sequence of Lévy measures. In this paper we characterize this process as a Markovian process with an infinitely divisible, selfsimilar, stable and self-decomposable distribution. Also, we prove that the Lévy-Khintchine characteristic function and Lévy-Itô decomposition apply to this process. Additionally we develop a basic framework for density transformations. Finally, we show some examples of LIBOR additive processes. A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in the second chapter. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new expressions in order to estimate the probabilities of default under risk-neutral measure. Additionally...

Is There a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk

Anginer, Deniz; Yildizhan, Celim
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
66.02%
Although financial theory suggests a positive relationship between default risk and equity returns, recent empirical papers find anomalously low returns for stocks with high probabilities of default. The authors show that returns to distressed stocks previously documented are really an amalgamation of anomalies associated with three stock characteristics -- leverage, volatility and profitability. In this paper they use a market based measure -- corporate credit spreads -- to proxy for default risk. Unlike previously used measures that proxy for a firm's real-world probability of default, credit spreads proxy for a risk-adjusted (or a risk-neutral) probability of default and thereby explicitly account for the systematic component of distress risk. The authors show that credit spreads predict corporate defaults better than previously used measures, such as, bond ratings, accounting variables and structural model parameters. They do not find default risk to be significantly priced in the cross-section of equity returns. There is also no evidence of firms with high default risk delivering anomalously low returns.

Sovereign default probabilities within the european crisis

Coutinho, Cristina Fonseca
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /09/2012 Português
Relevância na Pesquisa
55.94%
Mestrado em Matemática Financeira; In this thesis we assess the real default probabilities of three groups of European sovereigns - peripheral, central and safe haven - in order to get a forward looking measure of the market sentiment about their default, as well as their evolution within the current European crisis. We follow Moody's CDS-implied EDF Credit Measures and Fair-Value Spreads methodology by extracting risk-neutral probabilities of default, assumed to be Weibull distributed, from CDS spreads and convert them into real probabilities of default, using an adaptation of the Merton model to remove the risk premium. We use CDS spreads data from 2008 to 2011 and country dependent market prices of risk as proxy for the risk premium based on the equity benchmark indices of each country. The obtained real default probabilities proved to be a suitable indicator to predict defaults according to the credit events. They have increased severely since 2009/2010, in particular for the peripheral economies - Greece, Ireland and Portugal. The Greece's 1-year probability of default reached 55% at the end of 2011 and a default took place in March 2012. These three countries had to request a bailout from the EU/IMF authorities, Greece and Ireland in 2010 and Portugal in April 2011. Spain and Italy...

The Probability of Rare Disasters: Estimation and Implications

Siriwardane, Emil Nuwan
Fonte: Harvard University Publicador: Harvard University
Tipo: Research Paper or Report
Português
Relevância na Pesquisa
45.86%
I analyze a rare disasters economy that yields a measure of the risk neutral probability of a macroeconomic disaster, p*t . A large panel of options data provides strong evidence that p*t is the single factor driving option-implied jump risk measures in the cross section of firms. This is a core assumption of the rare disasters paradigm. A number of empirical patterns further support the interpretation of p*t as the risk-neutral likelihood of a disaster. First, standard forecasting regressions reveal that increases in p*t lead to economic downturns. Second, disaster risk is priced in the cross section of U.S. equity returns. A zero-cost equity portfolio with exposure to disasters earns risk-adjusted returns of 7.6% per year. Finally, a calibrated version of the model reasonably matches the: (i) sensitivity of the aggregate stock market to changes in the likelihood of a disaster and (ii) loss rates of disaster risky stocks during the 2008 financial crisis.

On honest times in financial modeling

Nikeghbali, Ashkan; Platen, Eckhard
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 21/08/2008 Português
Relevância na Pesquisa
55.78%
This paper demonstrates the usefulness and importance of the concept of honest times to financial modeling. It studies a financial market with asset prices that follow jump-diffusions with negative jumps. The central building block of the market model is its growth optimal portfolio (GOP), which maximizes the growth rate of strictly positive portfolios. Primary security account prices, when expressed in units of the GOP, turn out to be nonnegative local martingales. In the proposed framework an equivalent risk neutral probability measure need not exist. Derivative prices are obtained as conditional expectations of corresponding future payoffs, with the GOP as numeraire and the real world probability as pricing measure. The time when the global maximum of a portfolio with no positive jumps, when expressed in units of the GOP, is reached, is shown to be a generic representation of an honest time. We provide a general formula for the law of such honest times and compute the conditional distributions of the global maximum of a portfolio in this framework. Moreover, we provide a stochastic integral representation for uniformly integrable martingales whose terminal values are functions of the global maximum of a portfolio. These formulae are model independent and universal. We also specialize our results to some examples where we hedge a payoff that arrives at an honest time.

Partially Observable Risk-Sensitive Markov Decision Processes

Bäuerle, Nicole; Rieder, Ulrich
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
45.76%
We consider the problem of minimizing a certainty equivalent of the total or discounted cost over a finite and an infinite time horizon which is generated by a Partially Observable Markov Decision Process (POMDP). The certainty equivalent is defined by $U^{-1}(EU(Y))$ where $U$ is an increasing function. In contrast to a risk-neutral decision maker this optimization criterion takes the variability of the cost into account. It contains as a special case the classical risk-sensitive optimization criterion with an exponential utility. We show that this optimization problem can be solved by embedding the problem into a completely observable Markov Decision Process with extended state space and give conditions under which an optimal policy exists. The state space has to be extended by the joint conditional distribution of current unobserved state and accumulated cost. In case of an exponential utility, the problem simplifies considerably and we rediscover what in previous literature has been named information state. However, since we do not use any change of measure techniques here, our approach is simpler. A small numerical example, namely the classical repeated casino game with unknown success probability is considered to illustrate the influence of the certainty equivalent and its parameters.

Time Dynamics of Probability Measure and Hedging of Derivatives

Esipov, S.; Vaysburd, I.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
55.87%
We analyse derivative securities whose value is NOT a deterministic function of an underlying which means presence of a basis risk at any time. The key object of our analysis is conditional probability distribution at a given underlying value and moment of time. We consider time evolution of this probability distribution for an arbitrary hedging strategy (dynamically changing position in the underlying asset). We assume log-brownian walk of the underlying and use convolution formula to relate conditional probability distribution at any two successive time moments. It leads to the simple PDE on the probability measure parametrized by a hedging strategy. For delta-like distributions and risk-neutral hedging this equation reduces to the Black-Scholes one. We further analyse the PDE and derive formulae for hedging strategies targeting various objectives, such as minimizing variance or optimizing quantile position.; Comment: 8 pages, LaTeX, corrected some typos

On the Solvability of Risk-Sensitive Linear-Quadratic Mean-Field Games

Boualem, Djehiche; Hamidou, Tembine
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 26/11/2014 Português
Relevância na Pesquisa
45.8%
In this paper we formulate and solve a mean-field game described by a linear stochastic dynamics and a quadratic or exponential-quadratic cost functional for each generic player. The optimal strategies for the players are given explicitly using a simple and direct method based on square completion and a Girsanov-type change of measure. This approach does not use the well-known solution methods such as the Stochastic Maximum Principle and the Dynamic Programming Principle with Hamilton-Jacobi-Bellman-Isaacs equation and Fokker-Planck-Kolmogorov equation. In the risk-neutral linear-quadratic mean-field game, we show that there is unique best response strategy to the mean of the state and provide a simple sufficient condition of existence and uniqueness of mean-field equilibrium. This approach gives a basic insight into the solution by providing a simple explanation for the additional term in the robust or risk-sensitive Riccati equation, compared to the risk-neutral Riccati equation. Sufficient conditions for existence and uniqueness of mean-field equilibria are obtained when the horizon length and risk-sensitivity index are small enough. The method is then extended to the linear-quadratic robust mean-field games under small disturbance...

Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets

Taleb, Nassim N.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
45.81%
Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one, under any general probability distribution, bypassing the Black-Scholes-Merton dynamic hedging argument, and without the requirement of complete markets and other strong assumptions. We confirm that the heuristics used by traders for centuries are both more robust, more consistent, and more rigorous than held in the economics literature. We also show that options can be priced using infinite variance (finite mean) distributions.

Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model

Chan, Leunglung; Platen, Eckhard
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
45.78%
This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the benchmark approach, which only requires the existence of the num\'{e}raire portfolio. The growth optimal portfolio is the num\'{e}raire portfolio and used as num\'{e}raire together with the real world probability measure as pricing measure. This pricing concept provides minimal prices for variance swaps even when an equivalent risk neutral probability measure does not exist.; Comment: 23 pages, 5 figures

Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity

Figueroa-López, José E.; Luo, Yankeng
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 17/05/2015 Português
Relevância na Pesquisa
55.8%
In this article, we consider a Markov process X, starting from x and solving a stochastic differential equation, which is driven by a Brownian motion and an independent pure jump component exhibiting state-dependent jump intensity and infinite jump activity. A second order expansion is derived for the tail probability P[X(t)>x+y] in small time t, for y>0. As an application of this expansion and a suitable change of the underlying probability measure, a second order expansion, near expiration, for out-of-the-money European call option prices is obtained when the underlying stock price is modeled as the exponential of the jump-diffusion process X under the risk-neutral probability measure.; Comment: 35 pages, 3 figures

CAPM, rewards, and empirical asset pricing with coherent risk

Cherny, Alexander S.; Madan, Dilip B.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 02/05/2006 Português
Relevância na Pesquisa
45.82%
The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure provides a powerful tool for investigating the relation between the first two measures. In particular, this gives us - a new way of measuring reward; - a new approach to the empirical asset pricing.

Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox

Maccioni, Alessandro Fiori
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
45.81%
This paper highlights the role of risk neutral investors in generating endogenous bubbles in derivatives markets. We find that a market for derivatives, which has all the features of a perfect market except completeness and has some risk neutral investors, can exhibit extreme price movements which represent a violation to the Gaussian random walk hypothesis. This can be viewed as a paradox because it contradicts wide-held conjectures about prices in informationally efficient markets with rational investors. Our findings imply that prices are not always good approximations of the fundamental values of derivatives, and that extreme price movements like price peaks or crashes may have endogenous origin and happen with a higher-than-normal frequency.; Comment: 21 pages. The second version presents the following upgrades: improved precision in the definition of agents and their behaviour; simplification in the notation of the probability measure; simplification in section 4.1; addition of caveats in the conclusions. The results of the second version remain unchanged

Risk trading and endogenous probabilities in investment equilibria

Ralph, Daniel; Smeers, Yves
Fonte: Society for Industrial and Applied Mathematics (SIAM) Publicador: Society for Industrial and Applied Mathematics (SIAM)
Tipo: Article; accepted version
Português
Relevância na Pesquisa
45.89%
This is the author accepted manuscript. It is currently under an indefinite embargo pending publication by the Society for Industrial and Applied Mathematics (SIAM); A risky design equilibrium problem is an equilibrium system that involves N designers who invest in risky assets, such as production plants, evaluate these using convex or coherent risk measures, and also trade financial securities in order to manage their risk. Our main finding is that in a complete risk market - when all uncertainties can be replicated by financial products - a risky design equilibrium problem collapses to what we call a risky design game, i.e., a stochastic Nash game in which the original design agents act as risk neutral and there emerges an additional system risk agent. The system risk agent simultaneously prices risk and determines the probability density used by the other agents for their risk neutral evaluations. This situation is stochastic-endogenous: the probability density used by agents to value uncertain investments is endogenous to the risky design equilibrium problem. This result is most striking when design agents use coherent risk measures in which case the intersection of their risk sets turns out to be a risk set for the system risk agent...