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Document type:
Zeitschriftenaufsatz 
Author(s):
Bernhart, G.; Mai, J.-F. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
On convexity adjustments for stock derivatives due to stochastic repo margins 
Abstract:
Repo transactions are of high relevance for functioning financial markets, among others as they are a necessary tool for short selling. Short selling in turn is necessary for hedging, in particular for the hedging of stock derivatives. Most mathematical models in this context assume the repo margins to be constant for reasons of tractability. However, in reality those rates are stochastic and highly correlated with the development of the underlying stock. The aim of the present article is to inv...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
working paper 
Year:
2013 
Pages contribution:
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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