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02-12-2005
We extend a well-known structural jump-diffusion model for credit risk to handle both correlations through diffusion of asset values and common jumps in asset value. Through a ...
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29-03-2005
We take an asset-pricing approach to model the funding advantage of Government Sponsored Enterprises (GSEs) such as Fannie Mae and Freddie Mac. In order to replicate stylized facts, we ...
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25-02-2005
In April 2004, JP Morgan introduced the notion of base correlations, a novel approach to quoting correlations for synthetic CDO tranches. This approach facilitates a simple relative ...
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26-08-2004
Structural models of credit risk predict that certain firm and market features (leverage, volatility, risk-free rates) determine the price of credit-risky bonds. Unlike previous ...
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29-01-2004
We investigate the effect of adding a distinct feature from the Danish mortgage market to the US market, namely a buyback option, which enables mortgagors to buy back their share of the ...
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12-12-2002
This paper proposes a new valuation model for fixed-rate mortgage-backed securities which may be able to determine the price, option-adjusted spread, and option-adjusted duration ...
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12-12-2002
Svend Jakobsen, Prepayment and the Valuation of Mortgage Backed Bonds, Ph.D. Thesis, The Aarhus School of Business, 1992. The purpose of the thesis is to develop and test a pricing ...
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12-12-2002
This paper investigates the computation of Value-at-Risk (VaR) measures for mortgage backed securities (MBSs) using data for the Danish MBS market. The current RiskMetrics proposal from ...
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12-12-2002
This paper proposes a new nonparametric approach to the problem of interfering term structure estimates using coupon bond prices. The nonparametric estimator is defined on the basis of ...
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12-12-2002
This paper investigates hedging performance of misspecified models. Rather than constructing super-replicating strategies this paper suggests quantifying the hedging error by ...
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12-12-2002
In this paper we consider the computation of state-prices in one-factor termstructure models. The contingent claim valuation problem is solved using the efficient method of finite ...
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12-12-2002
In this paper we consider the application of control variates to the Monte-Carle valuation of American options. The main idea of the paper is to sample control variates at the exercise ...
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12-12-2002
In this paper we suggest two improvements to the Least-Squares Monte-Carlo approach of Longstaff & Schwartz (2001). Both focus on the accuracy and stability of the exercise strategy ...
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12-12-2002
In this paper we study and implement a finite difference version of the augmented state variable approach proposed by Hull & White (1993) that allows for pathdependent securities. ...
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12-12-2002
In this paper we analyze the mortgage choice faced by Danish borrowers. Based on an analysis of the most popular Danish mortgage products, we argue that Adjustable-Rate Mortgages (ARM) ...
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12-12-2002
This paper concerns the problem of valuing Bermudan swaptions in a Libor market model. In particular we consider various efficiency improvement techniques for a Monte Carlo based ...
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12-12-2002
In this paper we examine the cost of using recalibrated single-factor models to determine the exercise strategy for Bermudan swaptions in a multi-factor world. We demonstrate that ...
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