A consol is a default-free financial instrument paying a constant stream of one unit of money. A synonym is a perpetuity. the valuation of a consol presents a particular difficulty: the time horizon of this instrument is infinity, and hence the usual technique of replacing the physical probability measure by a new probability measure represents serious problems with regard to absolute continuity of the two measures. We will work out explicit formulas when the instantaneous riskless interest rate follows a square-root process under the risk-free measure. Several mathematical properties will be investigated. Yor and Geman and Yor have considered the problem of pricing consols and carry out a more fundamental analysis (see References). This paper is self-contained and emphasizes properties or techniques not covered by those authors. 相似文献
We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may change its sign. We also give an application to the CAPM.Received: November 2003, Mathematics Subject Classification (2000):
60G44JEL Classification:
G13, G11Freddy Delbaen: This research was done during the stay of the author at Université de Franche-Comté. 相似文献
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "coherent." We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile-based methods. We demonstrate the universality of scenario-based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile-based methods. 相似文献
In this paper we investigate the relationship between growth in future Gross Domestic Product (GDP) and Industrial Production (IDP) and the performance of SMB (small stocks minus big stocks) and HML (High book-to-market stocks minus low book-to-market stocks) portfolios for equities listed in Hong Kong, South Korea and Taiwan.We find evidence to suggest that: (a) the excess market return is positively related to future GDP or IDP growth in South Korea and Taiwan; (b) contrary to most European markets, Australia, Japan and the US, future economic growth is in general significantly negatively related to SMB in Hong Kong and South Korea; and, (c) a negative relationship between future economic growth and HML for Hong Kong. Our results cast doubt if SMB and HML portfolios are positive risk factors in the Fama and French (Fama, E. F., and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56) three-factor asset pricing model for Hong Kong, South Korea and Taiwan. 相似文献
The actual role of the US Dollar as the international reserve currency is an essential part of a financial architecture, which was conceived after World War II. Since then the world-wide economic, financial and political landscape has fundamentally changed. The article describes through which mechanisms the actual financial architecture will be challenged and what will be the consequences and occasional outcome. 相似文献
The current world situation leads us to consider that sustainable development needs to be a global priority to ensure the future of the planet and improve the quality of life. There is a need for sustainable finance to support this. Savings and credit cooperatives could help to achieve this impact as they serve the microfinance and microlending market. They facilitate the financial inclusion of the most vulnerable people, most of whom live in rural areas and are members of organizations, such as agricultural cooperatives and associations. Previous studies have focused exclusively on overall profitability, so this paper contributes to extending the literature by analyzing the whole population of savings and credit cooperatives in Ecuador (510 institutions), focusing on their profitability in two ways: the overall profitability necessary for the viability of the business and, in addition, the microcredit portfolio profitability, as a specific measure of its contribution to sustainability and social value creation. Another novelty is that the analysis has been carried out using several machine learning techniques for the wider generalization of the results. These show that size is the most relevant variable for predicting the ROE and that the microcredit portfolio profitability is conditioned by the credit variables. 相似文献