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Review of Derivatives Research最新文献

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The determinants of CDS spreads: evidence from the model space CDS价差的决定因素:来自模型空间的证据
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-06-26 DOI: 10.1007/s11147-017-9134-6
Matthias Pelster, Johannes K. Vilsmeier
{"title":"The determinants of CDS spreads: evidence from the model space","authors":"Matthias Pelster, Johannes K. Vilsmeier","doi":"10.1007/s11147-017-9134-6","DOIUrl":"https://doi.org/10.1007/s11147-017-9134-6","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"63 - 118"},"PeriodicalIF":0.8,"publicationDate":"2017-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-017-9134-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46713308","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The determinants of CDS spreads: evidence from the model space CDS利差的决定因素：来自模型空间的证据
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-06-12 DOI: 10.2139/ssrn.2802316
Matthias Pelster, Johannes K. Vilsmeier
{"title":"The determinants of CDS spreads: evidence from the model space","authors":"Matthias Pelster, Johannes K. Vilsmeier","doi":"10.2139/ssrn.2802316","DOIUrl":"https://doi.org/10.2139/ssrn.2802316","url":null,"abstract":"We apply Bayesian model averaging and a frequentistic model space analysis to assess the pricing determinants of credit default swaps (CDSs). Our study focuses on the complete model space of plausible models and thus supports ultimate robustness. Using a large dataset of CDS contracts we find that CDS price dynamics can be mainly explained by factors describing firms’ sensitivity to extreme market movements. More precisely, our results suggest that dynamic copula based measures of tail dependence incorporate most essential pricing information, making other potential determinants such as Merton-type factors or linear variables measuring the systematic market evolution negligible.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"21 1","pages":"63-118"},"PeriodicalIF":0.8,"publicationDate":"2017-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49414140","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Did crisis alter trading of two major oil futures markets? 危机是否改变了两大石油期货市场的交易？
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-04-19 DOI: 10.1007/s11147-017-9133-7
Iman Adeinat, Naseem Al Rahahleh, Peihwang Wei
{"title":"Did crisis alter trading of two major oil futures markets?","authors":"Iman Adeinat, Naseem Al Rahahleh, Peihwang Wei","doi":"10.1007/s11147-017-9133-7","DOIUrl":"https://doi.org/10.1007/s11147-017-9133-7","url":null,"abstract":"The paper analyzes how traders in two major oil futures markets: New York Mercantile Exchange (NYMEX) and Intercontinental Exchange, reacted to the 2008 financial crisis, particularly whether they shifted their trading pattern and whether the relative information role of the two markets changed. Using trade-by-trade data, the paper analyzes several trading characteristics including trading volume, trade size, volatility, bid–ask spread, and relative information share. On average, NYMEX is characterized by greater volume, trade size and slightly greater spread. Before the crisis, NYMEX leads the process of price discovery, and volatility and trade size are significant factors explaining this leadership. However, following the financial crisis of 2008, the leadership role of NYMEX declines and trade size and volatility are no longer significant factors. Contrary to results of most equity market research, bid–ask spread is not a significant factor in information share and causality tests indicate that causality runs from spread to information share before the crisis but the opposite holds during the crisis period.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"148 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2017-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140885975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A multivariate stochastic volatility model with applications in the foreign exchange market 应用于外汇市场的多元随机波动模型
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-03-20 DOI: 10.1007/s11147-017-9132-8
Marcos Escobar, Christoph Gschnaidtner
{"title":"A multivariate stochastic volatility model with applications in the foreign exchange market","authors":"Marcos Escobar, Christoph Gschnaidtner","doi":"10.1007/s11147-017-9132-8","DOIUrl":"https://doi.org/10.1007/s11147-017-9132-8","url":null,"abstract":"The main objective of this paper is to study the behavior of a daily calibration of a multivariate stochastic volatility model, namely the principal component stochastic volatility (PCSV) model, to market data of plain vanilla options on foreign exchange rates. To this end, a general setting describing a foreign exchange market is introduced. Two adequate models—PCSV and a simpler multivariate Heston model—are adjusted to suit the foreign exchange setting. For both models, characteristic functions are found which allow for an almost instantaneous calculation of option prices using Fourier techniques. After presenting the general calibration procedure, both the multivariate Heston and the PCSV models are calibrated to a time series of option data on three exchange rates—<i>USD-SEK</i>, <i>EUR-SEK</i>, and <i>EUR-USD</i>—spanning more than 11 years. Finally, the benefits of the PCSV model which we find to be superior to the multivariate extension of the Heston model in replicating the dynamics of these options are highlighted.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"62 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2017-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140885684","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk 当股票价格面临跳跃风险时，参与指数有上限的人寿保险合同的益处
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-03-16 DOI: 10.1007/s11147-017-9131-9
Antje Mahayni, Matthias Muck
{"title":"The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk","authors":"Antje Mahayni, Matthias Muck","doi":"10.1007/s11147-017-9131-9","DOIUrl":"https://doi.org/10.1007/s11147-017-9131-9","url":null,"abstract":"We analyze the benefit to the insured of newly traded, innovative life insurance contracts. On a sequence of yearly reference days, the insured can choose between a guaranteed return (linked to the insurer’s asset result) and a capped index participation. The cap is adjusted at the beginning of each year such that both alternatives have the same value and the option to select is costless (product structuring condition). We point out that this condition cannot always be met. If the guaranteed return exceeds the upper bound of the capped index participation, the insurer can make a side profit. We show that a rather low insurance result also implies a rather low stock exposure, even if the insured opts for the index participation. Concerning the impact of the index dynamics, we emphasize that it is important to distinguish between jump and diffusion risk because the pricing of jump risk has an impact on cap rates that can be offered to an insured. Finally, we show that the optimal decision strategy of a CRRA investor implies an index selection even if it is unfairly priced such that the insurer indeed makes a side profit.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"148 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2017-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140885747","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing double barrier options under a volatility regime-switching model with psychological barriers 带有心理障碍的波动率制度转换模型下的双障碍期权定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-03-15 DOI: 10.1007/s11147-017-9130-x
Shiyu Song, Yongjin Wang
{"title":"Pricing double barrier options under a volatility regime-switching model with psychological barriers","authors":"Shiyu Song, Yongjin Wang","doi":"10.1007/s11147-017-9130-x","DOIUrl":"https://doi.org/10.1007/s11147-017-9130-x","url":null,"abstract":"The prices of lots of assets have been proved in literature to exhibit special behaviors around psychological barriers, which is an important fact needed to be considered when pricing derivatives. In this paper, we discuss the valuation problem of double barrier options under a volatility regime-switching model where there exist psychological barriers in the prices of underlying assets. The volatility can shift between two regimes, that is to say, when the asset price rises up or falls down through the psychological barrier, the volatility takes two different values. Using the Laplace transform approach, we obtain the price of the double barrier knock-out call option as well as its delta. We also provide the eigenfunction expansion pricing formula and examine the effect of the psychological barrier on the option price and delta, finding that the gamma of the option is discontinuous at such barriers.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"62 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2017-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140885683","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Profitability patterns in the interest rate derivatives market 利率衍生品市场的盈利模式
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-03-09 DOI: 10.1007/s11147-017-9129-3
Ralf Meyer
{"title":"Profitability patterns in the interest rate derivatives market","authors":"Ralf Meyer","doi":"10.1007/s11147-017-9129-3","DOIUrl":"https://doi.org/10.1007/s11147-017-9129-3","url":null,"abstract":"This study identifies profitability patterns and their determinants in the global interest rate derivatives market. Although this market is the world’s largest financial market in terms of nominal value, there has been basically no academic research on profitability owing to missing data. To address this problem, a new analytical method has been developed. Using this new method, the study shows that interest rate derivatives have been a substantial source of profitability that have netted a total average annual profit of more than USD 82 billion for banks since 2009. Furthermore, the study shows that counterparty type, market position (i.e. being one of the Top 5 banks), and trade currency are determinants of the profitability of a trade. For other features of a trade, such as duration or notional amount, no correlation with profitability is found. Finally, the impact of changes of the market structure on profitability driven by regulatory initiatives is discussed qualitatively.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"39 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2017-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140885884","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A unified approach for the pricing of options relating to averages 平均值期权定价的统一方法
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-02-06 DOI: 10.1007/s11147-017-9128-4
Hideharu Funahashi, Masaaki Kijima
{"title":"A unified approach for the pricing of options relating to averages","authors":"Hideharu Funahashi, Masaaki Kijima","doi":"10.1007/s11147-017-9128-4","DOIUrl":"https://doi.org/10.1007/s11147-017-9128-4","url":null,"abstract":"In this paper, we consider generalized Asian options and propose a unified approximation method for the pricing of such options when the underlying process is a diffusion. Through numerical examples, we show that our approximation method is accurate enough to be used in practice for the pricing of <i>any</i> type of Asian options that has been treated separately in the literature. Comparisons are made with the existing methods in the literature to support the usefulness of our method.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"16 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2017-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140884134","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Implied volatility and skewness surface 隐含波动率和偏度曲面
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2017-01-09 DOI: 10.1007/s11147-016-9127-x
Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tédongap
{"title":"Implied volatility and skewness surface","authors":"Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tédongap","doi":"10.1007/s11147-016-9127-x","DOIUrl":"https://doi.org/10.1007/s11147-016-9127-x","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"20 1","pages":"167 - 202"},"PeriodicalIF":0.8,"publicationDate":"2017-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-016-9127-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42296776","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A four-factor stochastic volatility model of commodity prices 商品价格的四因素随机波动模型
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-11-16 DOI: 10.1007/s11147-016-9126-y
Max F. Schöne, S. Spinler
{"title":"A four-factor stochastic volatility model of commodity prices","authors":"Max F. Schöne, S. Spinler","doi":"10.1007/s11147-016-9126-y","DOIUrl":"https://doi.org/10.1007/s11147-016-9126-y","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"20 1","pages":"135 - 165"},"PeriodicalIF":0.8,"publicationDate":"2016-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-016-9126-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45784761","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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