التفاصيل البيبلوغرافية
| العنوان: |
A Comparison of Single Factor Markov-Functional and Multi Factor Market Models |
| المؤلفون: |
Pietersz, R. (Raoul), Pelsser, A.A.J. (Antoon) |
| المصدر: |
ERIM report series research in management Erasmus Research Institute of Management |
| سنة النشر: |
2005 |
| المجموعة: |
RePub - Publications from Erasmus University, Rotterdam |
| مصطلحات موضوعية: |
Bermudan swaption, Greeks for callable products, Markov-functional model, hedging, market model, smile, terminal correlation |
| الوصف: |
We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can be adequately riskmanaged with single factor models. Moreover, we show that the impact of smile can be much larger than the impact of correlation. We propose a new method for calculating risk sensitivities of callable products in market models, which is a modification of the least-squares Monte Carlo method. The hedge results show that this new method enables proper functioning of market models as risk-management tools. |
| نوع الوثيقة: |
report |
| وصف الملف: |
application/pdf |
| اللغة: |
English |
| Relation: |
http://repub.eur.nl/pub/1930; urn:hdl:1765/1930 |
| الاتاحة: |
http://repub.eur.nl/pub/1930 |
| Rights: |
info:eu-repo/semantics/openAccess |
| رقم الانضمام: |
edsbas.10E90B91 |
| قاعدة البيانات: |
BASE |