International stochastic discount factors and stochastic correlation:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2015
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xix, 179 S. graph. Darst. |
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MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
List of Figures ................................................................
List of Tables............................................................
List of Acronyms................................................................
List of Symbols.................................................................
1 Introduction ....................................................................
5
2 Preliminaries....................................................................
2.1 The stochastic discount factor............................................. ®
2.1.1 The stochastic discount factor in a single-country setting .............. 6
2.1.2 The stochastic discount factor and risk-neutral densities............... 12
2.1.3 The stochastic discount factor in a two-country setting................. 16
2.2 Literature overview........................................................ 26
3 Foreign Exchange Options ........................................................ 25
3.1 The Garman and Kohlhagen (1983) model...................................... 26
3.2 The foreign exchange options market........................................ 29
3.2.1 The option premium.................................................. 29
3.2.2 Delta conventions .................................................. 30
3.2.3 At-the-money types.................................................. 33
3.3 Data types in the FX options market........................................ 34
3.3.1 Delta neutral straddle, risk reversal, and butterfly................ 34
3.3.2 Direct quotation using delta/implied volatility pairs............... 38
4 Stochastic Discount Factors and FX Options...................................... 41
4.1 Stochastic discount factors and exchange rates ................................ 42
4.2 Stochastic discount factor dynamics ........................................... 44
4.2.1 Variance-covariance structure........................................... 47
4.2.2 Market prices of risk................................................... 48
4.2.3 SDF dynamics under risk-neutral probability measures.................... 50
4.3 Exchange rate process.......................................................... 53
4.3.1 Risk-neutral exchange rate dynamics..................................... 56
vi
Contents vii
4.3.2 Risk premiums.............................................................. 59
4.4 Option pricing .................................................................. 60
4.4.1 Option pricing՝ formula.................................................... 60
4.4.2 The Attari (2004) simplification .......................................... 65
4.4.3 Numerical analysis of the option pricing formulae.......................... 74
5 Empirical Analysis ................................................................... 83
5.1 Data description ................................................................ 84
5.2 Model calibration................................................................ 87
5.3 State estimation and the Kalman filter........................................... 91
5.3.1 Recursive Bayesian estimation ............................................. 92
5.3.2 The Kalman filter ......................................................... 96
5.3.3 Nonlinear Kalman filters.................................................. 100
5.4 Estimation approach............................................................. 110
5.4.1 Discretization of the state dynamics...................................... Ill
5.4.2 Extracting information from foreign currency option prices....... 115
5.4.3 Extracting information from foreign currency returns.......... 119
5.4.4 The log-likelihood of option prices and currency returns.................. 122
5.5 Results......................................................................... 125
5.5.1 Parameters and time series of latent states in the two-country model . . . 126
5.5.2 Performance of the two-country model...................................... 139
5.5.3 Parameters and time series of latent states in the three-country model . . 143
6 Conclusion and Outlook................................................................147
A Figures...............................................................................149
B Algorithms and Proofs.................................................................157
B.l Fourier transforms in a general n-country model ................................ 158
B.2 Numerical integration techniques................................................ 163
B.3 The square-root unscented Kalman filter......................................... 164
Bibliography..........................................................................167
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| indexdate | 2024-07-10T07:10:34Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028256297 |
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| physical | xix, 179 S. graph. Darst. |
| publishDate | 2015 |
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| spelling | Herold, Michael 1984- Verfasser (DE-588)1076410510 aut International stochastic discount factors and stochastic correlation Michael Herold 2015 xix, 179 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bamberg, Univ., Diss., 2015 Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Optionspreistheorie (DE-588)4135346-8 s Stochastisches Modell (DE-588)4057633-4 s DE-604 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028256297&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Herold, Michael 1984- International stochastic discount factors and stochastic correlation Stochastisches Modell (DE-588)4057633-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4135346-8 (DE-588)4113937-9 |
| title | International stochastic discount factors and stochastic correlation |
| title_auth | International stochastic discount factors and stochastic correlation |
| title_exact_search | International stochastic discount factors and stochastic correlation |
| title_full | International stochastic discount factors and stochastic correlation Michael Herold |
| title_fullStr | International stochastic discount factors and stochastic correlation Michael Herold |
| title_full_unstemmed | International stochastic discount factors and stochastic correlation Michael Herold |
| title_short | International stochastic discount factors and stochastic correlation |
| title_sort | international stochastic discount factors and stochastic correlation |
| topic | Stochastisches Modell (DE-588)4057633-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Stochastisches Modell Optionspreistheorie Hochschulschrift |
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