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Title:

On convexity adjustments for stock derivatives due to stochastic repo margins

Document type:
Zeitschriftenaufsatz
Author(s):
Bernhart, G.; Mai, J.-F.
Non-TUM Co-author(s):
nein
Cooperation:
-
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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