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International Journal of Theoretical and Applied Finance最新文献

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Netting and Novation in Repo Networks 回购网络中的净额结算和更替
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-08-09 DOI: 10.1142/s0219024924500171
Hassan Chehaitli, M. Grasselli, Thomas R. Hurd, Weijie Pang
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引用次数: 0
Pricing Cocos with Equity Conversion Covenant in a Distressed Market Environment 在市场不景气的环境下为附带股权转换契约的可可豆定价
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-07-12 DOI: 10.1142/s0219024924500158
Jan-Frederik Mai
{"title":"Pricing Cocos with Equity Conversion Covenant in a Distressed Market Environment","authors":"Jan-Frederik Mai","doi":"10.1142/s0219024924500158","DOIUrl":"https://doi.org/10.1142/s0219024924500158","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.5,"publicationDate":"2024-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141653279","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Financial Impact of Carbon Emissions on Power Utilities Under Climate Scenarios 气候情景下碳排放对电力公司的财务影响
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-06-07 DOI: 10.1142/s0219024924500134
Florian Krach, Andrea Macrina, Ashley Kanter, Eba Hampwaye, Siphokazi Hlalukana, Nchakha Thato Rateele
{"title":"The Financial Impact of Carbon Emissions on Power Utilities Under Climate Scenarios","authors":"Florian Krach, Andrea Macrina, Ashley Kanter, Eba Hampwaye, Siphokazi Hlalukana, Nchakha Thato Rateele","doi":"10.1142/s0219024924500134","DOIUrl":"https://doi.org/10.1142/s0219024924500134","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.5,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141375726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A CHANGE OF MEASURE FORMULA FOR RECURSIVE CONDITIONAL EXPECTATIONS 递推条件期望的计量变化公式
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-05-30 DOI: 10.1142/s0219024924500080
LUCA DI PERSIO, ALESSANDRO GNOATTO, MARCO PATACCA
{"title":"A CHANGE OF MEASURE FORMULA FOR RECURSIVE CONDITIONAL EXPECTATIONS","authors":"LUCA DI PERSIO, ALESSANDRO GNOATTO, MARCO PATACCA","doi":"10.1142/s0219024924500080","DOIUrl":"https://doi.org/10.1142/s0219024924500080","url":null,"abstract":"<p>We derive a representation for the value process associated to the solutions of forward–backward stochastic differential equations in a jump-diffusion setting under multiple probability measures. Motivated by concrete financial problems, the latter representations are then applied to devise a generalization of the change of numéraire technique, allowing to obtain recursive pricing formulas in the presence of nonlinear funding terms due to e.g. collateralization agreements.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.5,"publicationDate":"2024-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141551434","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
KRIGING METHODS FOR MODELING SPATIAL BASIS RISK IN WEATHER INDEX INSURANCES: A TECHNICAL NOTE 用于天气指数保险空间基础风险建模的克里金方法：技术说明
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-04-18 DOI: 10.1142/s0219024923500346
YIPING GUO, JOHNNY SIU-HANG LI
{"title":"KRIGING METHODS FOR MODELING SPATIAL BASIS RISK IN WEATHER INDEX INSURANCES: A TECHNICAL NOTE","authors":"YIPING GUO, JOHNNY SIU-HANG LI","doi":"10.1142/s0219024923500346","DOIUrl":"https://doi.org/10.1142/s0219024923500346","url":null,"abstract":"<p>The use of weather index insurances is subject to spatial basis risk, which arises from the fact that the location of the user’s risk exposure is not the same as the location of any of the weather stations where an index can be measured. To gauge the effectiveness of weather index insurances, spatial interpolation techniques such as kriging can be adopted to estimate the relevant weather index from observations taken at nearby locations. In this paper, we study the performance of various statistical methods, ranging from simple nearest neighbor to more advanced trans-Gaussian kriging, in spatial interpolations of daily precipitations with data obtained from the US National Oceanic and Atmospheric Administration. We also investigate how spatial interpolations should be implemented in practice when the insurance is linked to popular weather indexes including annual consecutive dry days (CDD) and maximum five-day precipitation in one month (MFP). It is found that although spatially interpolating the raw weather variables on a daily basis is more sophisticated and computationally demanding, it does not necessarily yield superior results compared to direct interpolations of CDD/MFP on a yearly/monthly basis. This intriguing outcome can be explained by the statistical properties of the weather indexes and the underlying weather variables.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.5,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140624547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
MONETARY UTILITY FUNCTIONS ON Cb(X) SPACES Cb(X) 空间的货币效用函数
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-04-01 DOI: 10.1142/s0219024923500334
FREDDY DELBAEN
{"title":"MONETARY UTILITY FUNCTIONS ON Cb(X) SPACES","authors":"FREDDY DELBAEN","doi":"10.1142/s0219024923500334","DOIUrl":"https://doi.org/10.1142/s0219024923500334","url":null,"abstract":"<p>We will characterize robust monetary utility functions defined on the space of real valued (bounded) continuous functions on a Polish space.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.5,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140598853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Efficient Evaluation of Double-Barrier Options 高效评估双屏障方案
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-03-21 DOI: 10.1142/s0219024924500079
S. Boyarchenko, S. Levendorskii
{"title":"Efficient Evaluation of Double-Barrier Options","authors":"S. Boyarchenko, S. Levendorskii","doi":"10.1142/s0219024924500079","DOIUrl":"https://doi.org/10.1142/s0219024924500079","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.5,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140221509","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
THE JARROW AND TURNBULL SETTING REVISITED 重新审视杰罗和特恩布尔的背景
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-03-13 DOI: 10.1142/s0219024923500322
THOMAS KRABICHLER, JOSEF TEICHMANN
{"title":"THE JARROW AND TURNBULL SETTING REVISITED","authors":"THOMAS KRABICHLER, JOSEF TEICHMANN","doi":"10.1142/s0219024923500322","DOIUrl":"https://doi.org/10.1142/s0219024923500322","url":null,"abstract":"<p>We consider a financial market with zero-coupon bonds that are exposed to credit and liquidity risk. We revisit the famous Jarrow &amp; Turnbull (1995) setting in order to account for these two intricately intertwined risk types. We utilize the foreign exchange analogy that interprets defaultable zero-coupon bonds as a conversion of nondefaultable foreign counterparts. The relevant exchange rate is only partially observable in the market filtration, which leads us naturally to an application of the concept of <i>platonic financial markets</i> as introduced by Cuchiero <i>et al.</i> (2020). We provide an example of tractable term structure models that are driven by a two-dimensional affine jump diffusion. Furthermore, we derive explicit valuation formulae for marketable products, e.g. for credit default swaps.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.5,"publicationDate":"2024-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140151929","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Carbon Risk Hedging: Reducing Portfolio Carbon Risk Using a Beta Hedge Ratio 碳风险对冲：利用贝塔对冲比率降低投资组合的碳风险
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-03-11 DOI: 10.1142/s0219024924500067
Mathis Leifhelm, Peter Scholz
{"title":"Carbon Risk Hedging: Reducing Portfolio Carbon Risk Using a Beta Hedge Ratio","authors":"Mathis Leifhelm, Peter Scholz","doi":"10.1142/s0219024924500067","DOIUrl":"https://doi.org/10.1142/s0219024924500067","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.5,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140253329","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
INFORMATION-BASED TRADING 基于信息的交易
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-02-28 DOI: 10.1142/s0219024923500309
GEORGE BOUZIANIS, LANE P. HUGHSTON, LEANDRO SÁNCHEZ-BETANCOURT
{"title":"INFORMATION-BASED TRADING","authors":"GEORGE BOUZIANIS, LANE P. HUGHSTON, LEANDRO SÁNCHEZ-BETANCOURT","doi":"10.1142/s0219024923500309","DOIUrl":"https://doi.org/10.1142/s0219024923500309","url":null,"abstract":"<p>We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on information concerning a security that pays a random cash flow at a fixed time <span><math altimg=\"eq-00001.gif\" display=\"inline\" overflow=\"scroll\"><mi>T</mi></math></span><span></span> in the future. Market information is modeled in line with the scheme of Brody, Hughston, and Macrina. The risk-neutral distribution of the cash flow is known to the traders, who make prices with a fixed multiplicative bid-offer spread and report their prices to a game master who declares that a trade has been made when the bid price of one of the traders crosses the offer price of the other. We prove that the value of the first trader’s position is strictly greater than that of the second. The results are analyzed by use of simulation studies and generalized to situations where (a) there is a hierarchy of traders, (b) there are multiple successive trades, and (c) there is inventory aversion. In these settings, we show that information is superior to strategy.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":null,"pages":null},"PeriodicalIF":0.5,"publicationDate":"2024-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140151965","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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