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This paper provides a numerically accurate and computationally fast approximation to the prices of European options on coupon-bearing instruments that is applicable to the entire family of affine term structure models. Exploiting the typical shapes of the conditional distributions of the risk factors in affine diffusions, we show that one can reliably compute the relevant probabilities needed for pricing options on coupon-bearing instruments by the same Fourier inversion methods used in the pricing of options on zero-coupon bonds. We apply our theoretical results to the pricing of options on coupon bonds and swaptions, and the calculation of "expected exposures" on swap books. As an empirical illustration, we compute the expected exposures implied by several affine term structure models fit to historical swap yields. 相似文献
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Conditional value-at-risk: Aspects of modeling and estimation 总被引:2,自引:0,他引:2
This paper considers flexible conditional (regression) measures of market risk. Value-at-Risk modeling is cast in terms of
the quantile regression function – the inverse of the conditional distribution function. A basic specification analysis relates
its functional forms to the benchmark models of returns and asset pricing. We stress important aspects of measuring the extremal
and intermediate conditional risk. An empirical application characterizes the key economic determinants of various levels
of conditional risk.
Received: September 30, 1999/Revised version: November 20, 2000 相似文献
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