Search results for "pricing"
showing 10 items of 167 documents
Optimal Dynamic Portfolio Risk Management
2016
Numerous econometric studies report that financial asset volatilities and correlations are time-varying and predictable. Over the past decade, this knowledge has stimulated increasing interest in various dynamic portfolio risk control techniques. The two basic types of risk control techniques are: risk control across assets and risk control over time. At present, the two types of risk control techniques are not implemented simultaneously. There has been surprisingly little theoretical study of optimal dynamic portfolio risk management. In this paper, the author fills this gap in the literature by formulating and solving the multi-period portfolio choice problem. In terms of dynamic portfoli…
Pricing Sovereign Contingent Convertible Debt
2016
We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching which is prevalent during crises. Regime switching is modeled as a hidden Markov process and is integrated with a stochastic process of spread levels to obtain S-CoCo prices through simulation. The paper goes a step further and uses the pricing model in a Longstaff-Schwartz. American option pricing framework to compute state contingent S-CoCo prices at some risk horizon, thus facilitating risk management. Dual trigger pricing is also discussed using the idiosyncratic CD…
Label Style and Color Contribution to Explain Market Price Difference in Italian Red Wines Sold in the Chinese Wine Market
2017
This study employs a hedonic price methodology to investigate the implicit price of individual labelling characteristics of Italian red wines sold in the Chinese market. Our results highlight the most important quality attributes (extrinsic and intrinsic) given in the label capable to explain price difference. In particular, reveal significant premium price for wine origin, identified in particular through the DOC/DOCG appellation given in the label, and for clean labels or labels with particular designs. On the contrary, a price discount has been revealed for Italian wines produced with local grape varieties and with a label characterised by warm colors. These results, partly in disagreeme…
Why Are New Drugs Expensive and How Can They Stay Affordable?
2019
Increasing life expectancy leading to a higher median age causes an increasing need for healthcare resources, which is aggravated by an increasing prevalence of preventable diseases such as type 2 diabetes. This includes increasing expenditures for medicines, although these increases when expressed as a share of overall societal wealth are more moderate than often claimed. An increasing use of generic medicines (currently about 90% of all prescriptions) means that costs for discovery and development of innovative drugs must be recovered on a shrinking percentage of prescriptions. However, the key challenge to affordable drugs is exponentially increasing costs to bring a new medicine to the …
Modeling Conditional Skewness in Stock Returns
2007
Abstract In this paper, we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on the so-called z distribution capable of modeling skewness and kurtosis of the size typically encountered in stock return series. The need to allow for skewness can also be readily tested. The model is consistent with the volatility feedback effect in that conditional skewness is dependent on conditional variance. Compared to previously presented GARCH models allowing for conditional skewness, the model is analytically tractable, parsimonious and facilitates straightforward interpretation.Our empirical results indicate the presence of conditional skewness in the mon…
Plēsonīgo cenu jēdziens Latvijas konkurences tiesībās
2015
Plēsonīgo cenu stratēģijas realizēšana Latvijas doktrīnā līdz šim nav apskatīta. Lielākā problēma, kas saistīta ar plēsonīgajām cenām, ir plēsonīgo cenu piemērošanas nošķiršana no ikdienišķas biznesa prakses. Eiropas Savienības doktrīnā un Eiropas Savienības Tiesas praksē ir nostiprināti dažādi kritēriji, meklējot risinājumu iepriekš minētajai problēmai. Autors pētījuma gaitā analizē plēsonīgo cenu jēdzienu, kā arī Eiropas Savienības Tiesas praksi un tās piedāvātos kritērijus plēsonīgo cenu piemērošanas identificēšanai. Tāpat darba gaitā autors salīdzina Konkurences padomes nolēmumos nostiprinātos kritērijus ar Eiropas Savienības Tiesas praksi. Darbā, cita starpā, autors analizē arī Amerika…
OPTION VALUE CALCULATION AFFECTED COMPONENTS
2021
As the subprime credit crisis has attracted attention to financial derivative instruments, more frequently arises questions about fairvalue calculations. Over the time, different models had been introduced. All of those models take into account factors affectingprices. Mostly, factors used in calculations on the same type of financial instruments are approximately the same. Therefore questionarises, which factor affects price more and which less, with no matter which model would be used for fair value calculations. One offinancial derivative instrument types is options. Options are agreements, which give to option buyer rights to buy or sell underlyingasset. While the seller or writer of op…
Value preserving portfolio strategies and the minimal martingale measure
1998
We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical.
Identifying Portfolio-Based Systematic Risk Factors in Equity Markets
2015
Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.