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Cấu trúc
CONTENTS
Preface
Program
Risk Sensitive Investment Management with Affine Processes: A Viscosity Approach M. Davis and S. Lleo
Keywords:
1. Introduction
2. Analytical Setting
2.1 Overview
2.2 Factor Dynamics
2.3 Asset Market Dynamics
2.4 Portfolio Dynamics
3. Problem Setup
3.1 Optimization Criterion
3.2 Change of Measure
3.3 The HJB Equation
4. Properties of the Value Function
4.1 “Zero Beta” Policies
4.2 Convexity
4.3 Boundedness
4.4 Growth
5. Viscosity Solution Approach
5.1 Definitions
5.2 Characterization of the Value Function as a Viscosity Solution
6. Comparison Result
6.1 Uniqueness
7. Conclusion
References
Small-Sample Estimation of Models of Portfolio Credit Risk M. B. Gordy and E. Heitfield
Keywords:
1. Introduction
2. A Structural Default Model
3. Moment and Maximum Likelihood Estimators
4. Monte Carlo Simulations
5. Bias in Method of Moments
Conclusion
Appendices
References
Heterogeneous Beliefs with Mortal Agents A. A. Brown and L. C. G. Rogers
1. Introduction
1.1 Literature Review
2. The Model
2.1 The Dividend Process
2.2 The Agents
2.3 Deriving the State Price Density
2.4 A Continuum of Agents
3. Asset Prices
3.1 The Interest Rate Process
3.2 The Stock Price
3.2.1 A PDE for the stock price
3.2.2 Calculation of stock price via computation of conditional expectation
3.2.3 Solving the ODEs
3.3 The Bond Price
3.4 Remarks on the Case in which a is Known
4. Numerical Results
4.1 Comments on Results
5. Conclusions
Appendices. Stochastic Integrals
References
Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults S. Crepey, M. Jeanblanc and B. Zargari
Keywords:
1. Introduction
1.1 Counterparty Credit Risk
1.2 A Markov Copula Approach
1.3 Outline of the Paper
2. General Set-Up
2.1 Cash Flows
2.2 Pricing
2.3 Special Case F = H
3. Markov Copula Factor Set-Up
3.1 Factor Process Model
3.2 Pricing
3.3 Hedging
3.3.1 Price dynamics
3.3.2 Min-variance hedging
4. Implementation
4.1 Affine Intensities Model Specification
4.1.1 Calibration issues
4.1.2 Special case of constant intensities
4.2 Numerical Results
5. Concluding Remarks and Perspectives
Appendix.
References
Portfolio Efficiency Under Heterogeneous Beliefs X.-Z. He and L. Shi
Keywords:
1. Introduction
2. MV Equilibrium Asset Prices Under Heterogeneous Beliefs
2.1 Heterogeneous Beliefs
2.2 Consensus Belief and Equilibrium Asset Prices
2.3 The Zero-Beta CAPM Under Heterogeneous Beliefs
3. The Impact of Heterogeneity
3.1 The Shadow Prices and the Aggregation Property
3.2 The Impact of Heterogeneous ARA Coefficients
3.3 The Impact of Heterogeneous Expected Payoffs
4. MV Efficiency and Geometric Relationship of MV Frontiers
4.1 MV Efficiency of the Optimal Portfolios Under Heterogeneous Beliefs
4.2 The Relation of the Equilibrium MV Frontiers without Risk-Free Asset
5. The Impact of Heterogeneity on the Market with Many Investors
6. Conclusion
Appendices
References
Security Pricing with Information-Sensitive Discounting A. Macrina and P. A. Parbhoo
Keywords:
1. Introduction
2. Information-Sensitive Pricing Kernels
3. Weighted Heat Kernel Models
4. Credit-Risky Discount Bonds
5. Credit-Risky Bonds with Continuous Market-Dependent Recovery
6. Call Option Price Process
7. Hybrid Securities
8. Credit-Risky Coupon Bonds
9. Credit-Sensitive Pricing Kernels
References
On Statistical Aspects in Calibrating a Geometric Skewed Stable Asset Price Model H. Masuda
Keywords:
1. Introduction
2. Setup
3. Description of Estimation Procedure
3.1 Preliminaries
3.1.1 Expression of empirical-sign statistics
3.1.2 Expression of normalized MPV
3.1.3 A basic limit result
3.2 Joint Asymptotic (Mixed) Normality
3.4 Case (B): Time-Varying Scale Process
4. Simulation Experiments
4.1 Case (A)
4.2 Case (B)
5. Concluding Remarks
References
A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory and Its Application to Co-Volatility Matrices Morimoto and K. Tachibana
Keywords:
1. Introduction
2. Theoretical Background
2.1 Random matrix
2.2 Extraction of Essential Volatility
2.3 Maximum Eigenvalue Density of Random Matrix
2.4 Realized Quantities
3. Empirical Analysis
4. Concluding Remarks
References
Quantile Hedging for Defaultable Claims Y. Nakano
Keywords:
1. Introduction
2. Model
3. Quantile Hedging Problem
4. Case of Non-Zero Recovery Rate
References
New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme K. Takehara, A. Takahashi and M. Toda
Keywords:
1. Introduction
2. An Asymptotic Expansion Approach in a Black-Scholes Economy
2.1 An Asymptotic Expansion Approach in a Black-Scholes Economy
2.2 An Approach with an Expansion into Iterated It Integrals
2.3 An Alternative Approach with a System of Ordinary Differential Equations
3. Numerical Examples
3.1 -SABR Model
3.2 Currency Option under a Libor Market Model of Interest Rates and a Stochastic Volatility of a Spot Exchange Rate
3.2.1 Cross-Currency Libor Market Models
3.2.2 Numerical Examples
4. Concluding Remarks
References
Can Financial Synergy Motivate M&A? Y. Tian, M. Nishihara and T. Shibata