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Valuation of Mortgage-Backed Securities Based upon a Structural Approach
Springer Science and Business Media LLC - Tập 8 - Trang 259-289 - 2001
This paper studies the valuation of mortgage-backed securities (MBS) based upon a structural approach of several risks involving the prepayment and/or default behavior of mortgagors. For the Kariya and Kobayashi (1999) model using a time-consuming Monte-Carlosimulation, we provide an alternative semi-analytic valuation methodology closely related to solving the (Volterra type) integral equation wi......
Samuelson Hypothesis & Indian Commodity Derivatives Market
Springer Science and Business Media LLC - Tập 19 - Trang 331-352 - 2012
Samuelson (1965) devised that futures price volatility increases as the futures contract approaches its expiration. The relation amid the volatility and time to maturity has significant inference for hedging strategies. Interestingly, so far the empirical evidence in favor of the Samuelson Hypothesis (maturity effect) is mixed in various markets. Considering no significant work to examine the rela......
Optimal Currency Portfolio with Implied Return Distribution in the Mean-Variance Approach
Springer Science and Business Media LLC - - Trang 1-33 - 2023
In this study, we construct an optimal currency portfolio using the implied return distribution in the mean-variance approach and examine the performance through a backtest. We estimate the implied expected spot return, implied volatility, and implied correlation from currency option price data, and propose a method of constructing a fully forward-looking optimal currency portfolio without histori......
The Minimal Entropy Martingale Measures for Exponential Additive Processes
Springer Science and Business Media LLC - Tập 16 - Trang 65-95 - 2009
In this paper, we will consider exponential additive processes as a financial market model. Under a mild condition, we will determine the minimal entropy martingale measures (MEMMs) for the exponential additive processes. To this end, we will prepare several results on the exponential moment of additive processes and integrals based on them. As an application of our result, we will deduce optimal ......
The Asian Financial Crisis and Investors’ Risk Aversion
Springer Science and Business Media LLC - Tập 13 - Trang 181-205 - 2007
This paper investigates whether changes in U.S. and Japanese banks’ risk aversion, measured by changes in the relative risk aversion (RRA) coefficient, are associated with the 1997 Asian financial crisis. It finds that an increase in U.S. banks’ risk aversion is unambiguously associated with the Asian crisis, while an increase in Japanese banks’ risk aversion is only weakly associated. The results......
Inclusions and Exclusions of Stocks in Cross-Border Investments: The Case of Stock Connect
Springer Science and Business Media LLC - Tập 30 - Trang 701-727 - 2022
How does the market react when more or fewer investors are allowed to trade certain stocks? Stock Connect, a cross-border investment channel between mainland China and Hong Kong, provides a natural testing ground. Investors are allowed to trade a list of qualified stocks from the stock market on the other side, and when a stock is removed from the list, investors can only sell but cannot buy that ......
Speculative Futures Trading under Mean Reversion
Springer Science and Business Media LLC - Tập 23 - Trang 281-304 - 2016
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein–Uhlenbeck, Cox–Ingersoll–Ross, or exponential Ornstein–Uhlenbeck model. The futures term structure is derived and its connection to futures price dynamics is examined. For each futures contract, we describe the evolution......
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