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Three essays on affine models.

Yan, Xuemin.

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Three essays on affine models.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Three essays on affine models./
Author:	Yan, Xuemin.
Description:	174 p.
Notes:	Source: Dissertation Abstracts International, Volume: 62-07, Section: A, page: 2476.
Contained By:	Dissertation Abstracts International62-07A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3018633
ISBN:	049330049X

Three essays on affine models.
Yan, Xuemin.

Three essays on affine models. - 174 p.

Source: Dissertation Abstracts International, Volume: 62-07, Section: A, page: 2476.

Thesis (Ph.D.)--The University of Iowa, 2001.

This dissertation contains three essays on affine models. Chapter One extends existing commodity valuation models to allow for stochastic volatility and simultaneous jumps in the spot price and spot volatility. Closed-form valuation formulas for forwards, futures, futures options, geometric Asian options and commodity-linked bonds are obtained. Stochastic volatility and jumps do <italic>not</italic> affect the futures price at a given point in time, but numerical examples indicate that they play important roles in pricing options.

ISBN: 049330049XSubjects--Topical Terms:

1018458
Business Administration, Banking.

Three essays on affine models.
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100 1 $a Yan, Xuemin. $3 1945833
245 1 0 $a Three essays on affine models.
300 $a 174 p.
500 $a Source: Dissertation Abstracts International, Volume: 62-07, Section: A, page: 2476.
500 $a Supervisor: David S. Bates.
502 $a Thesis (Ph.D.)--The University of Iowa, 2001.
520 $a This dissertation contains three essays on affine models. Chapter One extends existing commodity valuation models to allow for stochastic volatility and simultaneous jumps in the spot price and spot volatility. Closed-form valuation formulas for forwards, futures, futures options, geometric Asian options and commodity-linked bonds are obtained. Stochastic volatility and jumps do <italic>not</italic> affect the futures price at a given point in time, but numerical examples indicate that they play important roles in pricing options.
520 $a Chapter Two investigates option returns. As CAPM holds for option returns only instantaneously, there exist significant discretization biases when it is tested using discretely sampled data. We propose a simple way to correct this bias. After the correction, we find that weekly returns of S&P 500 futures options are, on average, 6% lower than what CAPM prescribes. We provide direct evidence of systematic volatility risk, but the volatility risk premium likely is not large enough to explain the observed low option returns by itself. We demonstrate that “overpricing” is most likely the other cause for negative excess option returns.
520 $a The primary objective of Chapter Three is to examine whether affine models do an adequate job of representing international asset price dynamics. First, I use the Seminonparametric (SNP) method to estimate the joint density of the S&P 500 index, the FTSE 100 index, U.S. short rates, U.K. short rates and the British Pound/U.S. dollar spot rates. I confirmed, extended and uncovered a number of interesting empirical regularities. Secondly, I propose a simple affine model in which stocks, bonds and currencies of two countries are priced jointly. Finally, versions of the proposed affine model are estimated using the Efficient Method of Moments (EMM). Estimation results indicate that affine models do a good job of capturing the persistence of volatilities, but have trouble fitting the first moment of interest rate changes. Furthermore, affine models adequately capture the cross market dynamics, but they have difficulty fitting higher order moments. Finally, affine models appear to represent the joint dynamics of exchange rates and interest rates better than the joint dynamics of exchange rates and stock indexes.
590 $a School code: 0096.
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, Finance. $3 626650
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710 2 0 $a The University of Iowa. $3 1017439
773 0 $t Dissertation Abstracts International $g 62-07A.
790 1 0 $a Bates, David S., $e advisor
790 $a 0096
791 $a Ph.D.
792 $a 2001
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3018633