Contingent claims

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  • In this work we consider the problem of the approximate hedging of a contingent claim in minimum mean square deviation criterion. A theorem on martingale representation in the case of discrete time and an application of obtained result for semi-continous market model are given.

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  • Chapter 19 - Options and contingent claims. This chapter include objectives: Understand the major types and characteristics of options and distinguish between options and futures; identify and explain the factors that affect option prices; understand and apply basic option pricing theorems, including put–call parity,…

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  • Throughout this paper, we consider a valuation method for contingent claims taking control of shortfall risk into account in the framework of complete market models. After giving a general form of the valuation, we shall deal with models whose underlying assets are described by diffusion processes, and obtain a result for American type claims

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  • Throughout this paper, we consider a valuation method for contingent claims taking control of shortfall risk into account in the framework of complete market models. After giving a general form of the valuation, we shall deal with models whose underlying assets are described by diffusion processes, and obtain a result for American type claims.

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  • There are strong interdependencies between banks and governments, through both balance sheet and contingent claim exposures. These interdependencies mutually reinforce the macroeconomic propagation of banking or sovereign market tensions. Second, given the fragmentation of some market segments and the setback to European banking sector integration, persistent cross-country heterogeneity needs to be considered. Third, a proper assessment of fi nancing conditions hinges on the distinction between demand and supply-side factors in credit intermediation.

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  • The pretty little theatre attached to the building of the Unicorn Club had been hired for a certain January afternoon by Mr. Herbert Loring, who wished to give therein a somewhat novel performance, to which he had invited a small audience consisting entirely of friends and acquaintances. Finally, we would like to thank Joanne Simpson and Catherine Dowie for their support for this project.

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  • This is the third volume of the Paris-Princeton Lectures in Mathematical Finance. The goal of this series is to publish cutting edge research in self-contained articles prepared by well known leaders in the field or promising young researchers invited by the editors. Particular attention is paid to the quality of the exposition, and the aim is at articles that can serve as an introductory reference for research in the field. The series is a result of frequent exchanges between researchers in finance and financial mathematics in Paris and Princeton.

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  • CHAPTER 16 Choosing the Right CTA: A Contingent Claim Approach. Managed futures have enjoyed a significant increase as investments during the last one and a half decades, both on a stand-alone basis and as part of a well-diversified portfolio. Managed futures accounts, indeed, seem to offer investors significant advantages not accessible elsewhere.

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  • Mathematical Finance Introduction to continuous time Financial Market models Dr. Christian-Oliver Ewald School of Economics and Finance University of St.Andrews Electronic copy of this paper is available at: http://ssrn.com/abstract=976593 .Abstract These are my Lecture Notes for a course in Continuous Time Finance which I taught in the Summer term 2003 at the University of Kaiserslautern. I am aware that the notes are not yet free of error and the manuscrip needs further improvement. I am happy about any comment on the notes. Please send your comments via e-mail to ce16@standrews.ac.uk.

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  • When the market is not complete, there is a need to create new securities in order to complete the market. One approach is to create derivative securities on the existing securities such as European-type options. A European call option written on a security gives its holder the right( not obligation) to buy the underlying security at a prespeci ed price on a prespeci ed date; whilst a European put option written on a security gives its holder the right( not obligation) to sell the underlying security at a prespeci ed price on a prespeci ed date.

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  • Continuous-time modeling in finance, though introduced by Louis Bachelier's 1900 thesis on the theory of speculation, really started with Merton's seminal work in the 1970s. Since then, the continuous-time paradigm has proved to be an immensely useful tool in finance and more generally economics. Continuous-time models are widely used to study issues that include the decision to optimally consume, save, and invest, portfolio choice under a variety of constraints, contingent claim pricing, capital accumulation, resource extraction, game theory, and more recently contract theory....

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  • Mathematical Finance is themathematical theory of financialmarkets. It tries to develop theoretical models, that can be used by “practitioners” to evaluate certain data from “real” financial markets. A model cannot be “right” or wrong, it can only be good or bad ( for practical use ). Even “bad” models can be “good” for theoretical insight.

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  • Financial economics plays a far more prominent role in the training of economists than it did even a few years ago. This change is generally attributed to the parallel transformation in capital markets that has occurred in recent years. It is true that trillions of dollars of assets are traded daily in ¯nancial markets|for derivative securities like options and futures, for example|that hardly existed a decade ago. However, it is less obvious how important these changes are. Insofar as derivative securities can be valued by arbitrage, such securities only duplicate primary securities....

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  • A convertible bond is a security that the holder can convert into a specified number of underlying shares. We enrich the standard model by introducing some default risk of the issuer. Once default has occured payments stop immediately. In the context of a reduced form model with infinite time horizon driven by a Brownian motion, analytical formulae for the no-arbitrage price of this American contingent claim are obtained and characterized in terms of solutions of free boundary problems.

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  • In this paper we develop a contingent valuation model for zero-coupon bonds with de- fault. In order to emphasize the role of maturity time and place of the lender’s claim in the hierarchy of debt of a Þrm, we consider a Þrm that issues two bonds with different ma- turities and different seniorage. The model allows us to analyze the implications of both debt renegotiation and capital structure of a Þrm on the prices of bonds.

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