SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 2732 / INIST-CNRS ... more SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 2732 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc
Abstract Participating mortgages,(PM) are described,by the real estate finance literature as an e... more Abstract Participating mortgages,(PM) are described,by the real estate finance literature as an efficient form,of financial contracting. This paper investi- gates different variants of a PM such as Shared Income Mortgage (SIM), SharedAppreciationMortgage(SAM)andSharedEquityMortgage(SEM). We resort to the closed-form,formulae,derived,in Shackleton,and,Wo- jakowski,(2007) to price profit caps and,floors of the variants of a PM. Finite maturity,pricing formulae,are scarce but particularly useful in real estate
We derive the continuous-time formula for expected payoff to holding an option, which nests sever... more We derive the continuous-time formula for expected payoff to holding an option, which nests several major pricing tools. We also show that under current market conditions the true exercise probability, N(d4), lies halfway between the two more familiar terms: N(d1) and N(d2).
There are two types of Asian options in the financial markets which differ according to the role ... more There are two types of Asian options in the financial markets which differ according to the role of the average price. We give a symmetry result between the floating- and fixed-strike Asian options. The proof involves a change of numeraire and time reversal of Brownian motion. Symmetries are very useful in option valuation, and in this case the result allows the use of more established fixed-strike pricing methods to price floating-strike Asian options.
Cette these se compose de trois articles: 1. Couverture du risque de change en marche complet. Ce... more Cette these se compose de trois articles: 1. Couverture du risque de change en marche complet. Cet article concerne la couverture optimale du risque de change pour une entreprise. Le concept du risque de change de long terme est defini par opposition a la conception classique du risque de change. La couverture optimale intertemporelle du risque de change de long terme est ensuite derivee par la methode de controle optimal stochastique, dans le cadre d'un modele ou le taux de change suit un processus gaussien avec retour vers le niveau de parite. Il est demontre qu'une telle couverture est une couverture en valeur, qui stabilise le flux des dividendes payes aux actionnaires et depend du niveau du taux de change par rapport au taux de parite. Le modele developpe dans cet article est riche en recommandations pratiques pour la politique de gestion des risques dans une entreprise. Il apparait notamment que l'entreprise devrait se couvrir plus si le niveau du taux de change es...
We model Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and pre... more We model Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulae for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable \"workout proportion\" and adjustable \"workout threshold.\" These results are of importance as they not only help understanding the mechanics of CWMs and estimating key contract parameters. Our results also provide guidance on how to mitigate systemic risk.
... Stephen J. Taylor1 Rafa l M. Wojakowski2 Gang Xu3 ... By extending GARCH jump model of Maheu ... more ... Stephen J. Taylor1 Rafa l M. Wojakowski2 Gang Xu3 ... By extending GARCH jump model of Maheu and McCurdy (2004), we find evidences that one day lagged volatility measurements can predict next day's jump intensity with model free implied volatility (implied volatility ...
SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 2732 / INIST-CNRS ... more SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 2732 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc
Abstract Participating mortgages,(PM) are described,by the real estate finance literature as an e... more Abstract Participating mortgages,(PM) are described,by the real estate finance literature as an efficient form,of financial contracting. This paper investi- gates different variants of a PM such as Shared Income Mortgage (SIM), SharedAppreciationMortgage(SAM)andSharedEquityMortgage(SEM). We resort to the closed-form,formulae,derived,in Shackleton,and,Wo- jakowski,(2007) to price profit caps and,floors of the variants of a PM. Finite maturity,pricing formulae,are scarce but particularly useful in real estate
We derive the continuous-time formula for expected payoff to holding an option, which nests sever... more We derive the continuous-time formula for expected payoff to holding an option, which nests several major pricing tools. We also show that under current market conditions the true exercise probability, N(d4), lies halfway between the two more familiar terms: N(d1) and N(d2).
There are two types of Asian options in the financial markets which differ according to the role ... more There are two types of Asian options in the financial markets which differ according to the role of the average price. We give a symmetry result between the floating- and fixed-strike Asian options. The proof involves a change of numeraire and time reversal of Brownian motion. Symmetries are very useful in option valuation, and in this case the result allows the use of more established fixed-strike pricing methods to price floating-strike Asian options.
Cette these se compose de trois articles: 1. Couverture du risque de change en marche complet. Ce... more Cette these se compose de trois articles: 1. Couverture du risque de change en marche complet. Cet article concerne la couverture optimale du risque de change pour une entreprise. Le concept du risque de change de long terme est defini par opposition a la conception classique du risque de change. La couverture optimale intertemporelle du risque de change de long terme est ensuite derivee par la methode de controle optimal stochastique, dans le cadre d'un modele ou le taux de change suit un processus gaussien avec retour vers le niveau de parite. Il est demontre qu'une telle couverture est une couverture en valeur, qui stabilise le flux des dividendes payes aux actionnaires et depend du niveau du taux de change par rapport au taux de parite. Le modele developpe dans cet article est riche en recommandations pratiques pour la politique de gestion des risques dans une entreprise. Il apparait notamment que l'entreprise devrait se couvrir plus si le niveau du taux de change es...
We model Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and pre... more We model Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulae for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable \"workout proportion\" and adjustable \"workout threshold.\" These results are of importance as they not only help understanding the mechanics of CWMs and estimating key contract parameters. Our results also provide guidance on how to mitigate systemic risk.
... Stephen J. Taylor1 Rafa l M. Wojakowski2 Gang Xu3 ... By extending GARCH jump model of Maheu ... more ... Stephen J. Taylor1 Rafa l M. Wojakowski2 Gang Xu3 ... By extending GARCH jump model of Maheu and McCurdy (2004), we find evidences that one day lagged volatility measurements can predict next day's jump intensity with model free implied volatility (implied volatility ...
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