scholarly journals DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES

2021 ◽  
Author(s):  
SANDRINE GÜMBEL ◽  
THORSTEN SCHMIDT
Keyword(s):  
Term Structure ◽  
General Setting ◽  
Martingale Measure ◽  
Local Martingale ◽  
Current Time ◽  
Forward Rates ◽  
Large Financial Market ◽  
Risky Bonds ◽  
Drift Conditions ◽  
The Right

In this paper, we consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the random field of forward rates is driven by a general semimartingale. Second, the Heath–Jarrow–Morton (HJM) approach is extended with an additional component capturing those future jumps in the term structure which are visible from the current time. Third, the associated recovery scheme is as general as possible, it is only assumed to be nonincreasing. In this general setting, we derive generalized drift conditions which characterize when a given measure is a local martingale measure, thus yielding no asymptotic free lunch with vanishing risk (NAFLVR), the right notion for this large financial market to be free of arbitrage.

PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL

2002 ◽  
Vol 05 (07) ◽  
pp. 757-774 ◽  
Author(s):  
DAVID HEATH ◽  
ECKHARD PLATEN
Keyword(s):  
Term Structure ◽  
Financial Market ◽  
Market Model ◽  
Martingale Measure ◽  
Local Martingale ◽  
Minimal Set ◽  
Benchmark Portfolio ◽  
Strict Local Martingale ◽  
Minimal Market Model ◽  
Standard Risk

The paper presents a financial market model that generates stochastic volatility using a minimal set of factors. These factors, formed by transformations of square root processes, model the dynamics of different denominations of a benchmark portfolio. Benchmarked prices are assumed to be local martingales. Numerical results for the pricing and hedging of basic derivatives on indices are described for the minimal market model. This includes cases where the standard risk neutral pricing methodology fails because of the presence of a strict local martingale measure. However, payoffs can be perfectly hedged using self-financing strategies and a form of arbitrage exists. This is illustrated by hedge simulations. The different term structure of implied volatilities is documented for calls and puts on an index.

scholarly journals Valuation of Inflation-Linked Annuities in a Lévy Market

2011 ◽  
Vol 2011 ◽  
pp. 1-15 ◽  
Author(s):  
Sure Mataramvura
Keyword(s):  
Martingale Measure ◽  
Forward Rates

We study the problem of pricing an inflation adjusted annuity in a forward rates market with jumps. Since the market will be incomplete, we use the minimalfq-martingale measureQqwhich we use for computing discounted expectations. We give explicit results forQqtogether with explicit results for the price of the annuity.

scholarly journals Three unusual parapharyngeal space masses resected via the endoscopy-assisted transoral approach: case series and literature review

2020 ◽  
Vol 48 (8) ◽  
pp. 030006052093606
Author(s):  
Li-Fang Shen ◽  
Ya-Lian Chen ◽  
Shui-Hong Zhou
Keyword(s):  
Parapharyngeal Space ◽  
Case Series ◽  
Transoral Approach ◽  
Carcinoma Ex Pleomorphic Adenoma ◽  
Branchial Cleft Cyst ◽  
Current Time ◽  
History Of ◽  
Cosmetic Outcomes ◽  
Branchial Cleft ◽  
The Right

Tumors of the parapharyngeal space (PPS) are rare, most originate from salivary and neurogenic tissues, and most are benign. However, there are some rarer masses in the PPS, with just a few published reports in the literature worldwide, and we may not consider them in the differential diagnosis of PPS neoplasms. We report three cases of rare masses in the PPS: Warthin’s tumor, branchial cleft cyst, and carcinoma ex pleomorphic adenoma. The three patients were admitted to our department with complaints of painless swelling in the lower side of the right face or a long history of snoring; diagnoses were confirmed histopathologically. An endoscopy-assisted transoral approach was used that allowed wide visibility for safe resection and resulted in a short hospitalization time and good functional and cosmetic outcomes. All patients have been followed to the current time, and there have been no recurrences. The transoral endoscopy-assisted approach appears to be safe, effective, and less invasive for excision of masses in the PPS.

scholarly journals CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS

2012 ◽  
Vol 15 (01) ◽  
pp. 1250008 ◽  
Author(s):  
THORSTEN SCHMIDT ◽  
JERZY ZABCZYK
Keyword(s):  
Term Structure ◽  
Forward Rate ◽  
Collateralized Debt Obligations ◽  
Top Down ◽  
Market Models ◽  
Forward Rates ◽  
Finite Dimensional ◽  
Generalized Framework ◽  
Collateralized Debt ◽  
Absence Of Arbitrage

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipović, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite dimensional Lévy process. The contribution of this work is twofold: we provide conditions for absence of arbitrage in this generalized framework. Furthermore, we study the relation to market models by embedding them in the forward rate framework in spirit of Brace, Gatarek and Musiela (1997).

scholarly journals Innovation and its importance in the context of a company’s marketing strategy

2021 ◽  
Vol 91 ◽  
pp. 01021
Author(s):  
Veronika Olexova ◽  
Martina Gogolova
Keyword(s):  
Marketing Strategy ◽  
Technological Progress ◽  
Corporate Strategy ◽  
Innovation Management ◽  
Business Environment ◽  
Secondary Findings ◽  
Basic Direction ◽  
Current Time ◽  
The Right ◽  
Basic Prerequisite

The current business environment is characterized by high competition between companies as well as global challenges and growing technological progress. Businesses must constantly adapt to changes in the business environment, changes in the market environment and the constantly changing requirements of customers. There are currently several tools and ways to respond to these changes. One of the most important areas can be considered corporate strategy, because it determines the basic direction of the company. An important area is also marketing, which affects the overall business activity. Determining the right marketing strategy has an important impact on the overall direction of the company. Another important element of the current time in the field of business is innovation, which can be considered a basic prerequisite for the success of the company. The issue of innovation management is currently one of the basic conditions for maintaining a market position and maintaining competitiveness. The aim of the article is to point out the theoretical basis of the corporate strategy, marketing strategy and the importance of innovation in business. Subsequently, based on secondary findings, we analyze available selected data related to innovation in Slovakia.

scholarly journals A Quantum Field Theory Term Structure Model Applied to Hedging

2003 ◽  
Vol 06 (05) ◽  
pp. 443-467 ◽  
Author(s):  
Belal E. Baaquie ◽  
Marakani Srikant ◽  
Mitch C. Warachka
Keyword(s):  
Field Theory ◽  
Quantum Field Theory ◽  
Term Structure ◽  
Theory Model ◽  
Forward Rate ◽  
Quantum Field ◽  
Structure Model ◽  
Term Structure Model ◽  
Forward Rates ◽  
Low Dimensional

A quantum field theory generalization, Baaquie [1], of the Heath, Jarrow and Morton (HJM) [10] term structure model parsimoniously describes the evolution of imperfectly correlated forward rates. Field theory also offers powerful computational tools to compute path integrals which naturally arise from all forward rate models. Specifically, incorporating field theory into the term structure facilitates hedge parameters that reduce to their finite factor HJM counterparts under special correlation structures. Although investors are unable to perfectly hedge against an infinite number of term structure perturbations in a field theory model, empirical evidence using market data reveals the effectiveness of a low dimensional hedge portfolio.

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