Search Results - "Schwartz, Eduardo S."

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives by Trolle, Anders B., Schwartz, Eduardo S.

“…Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for…”
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The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging by SCHWARTZ, EDUARDO S.

“…In this article we compare three models of the stochastic behavior of commodity prices that take into account mean reversion, in terms of their ability to…”
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Valuing American Options by Simulation: A Simple Least-Squares Approach by Longstaff, Francis A., Schwartz, Eduardo S.

“…This article presents a simple yet powerful new approach for approximating the value of American options by simulation. The key to this approach is the use of…”
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A Simple Approach to Valuing Risky Fixed and Floating Rate Debt by LONGSTAFF, FRANCIS A., SCHWARTZ, EDUARDO S.

“…We develop a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk. We use this approach to derive simple…”
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Investment Under Uncertainty in Information Technology: Acquisition and Development Projects by Schwartz, Eduardo S, Zozaya-Gorostiza, Carlos

“…In this paper, we develop two models for the valuation of information technology (IT) investment projects using the real options approach. The IT investment…”
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Commodity Price Forecasts, Futures Prices, and Pricing Models by Cortazar, Gonzalo, Millard, Cristobal, Ortega, Hector, Schwartz, Eduardo S.

“…Even though commodity-pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true…”
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The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence by Longstaff, Francis A., Santa-Clara, Pedro, Schwartz, Eduardo S.

“…Although traded as distinct products, caps and swaptions are linked by no-arbitrage relations through the correlation structure of interest rates. Using a…”
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Stochastic Convenience Yield and the Pricing of Oil Contingent Claims by GIBSON, RAJNA, SCHWARTZ, EDUARDO S.

“…This paper develops and empirically tests a two-factor model for pricing financial and real assets contingent on the price of oil. The factors are the spot…”
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Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model by LONGSTAFF, FRANCIS A., SCHWARTZ, EDUARDO S.

“…We develop a two-factor general equilibrium model of the term structure. The factors are the short-term interest rate and the volatility of the short-term…”
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Expected commodity returns and pricing models by Cortazar, Gonzalo, Kovacevic, Ivo, Schwartz, Eduardo S.

“…Stochastic models of commodity prices have evolved considerably in terms of their structure and the number and interpretation of the state variables that model…”
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Expected prices, futures prices and time-varying risk premiums: The case of copper by Cifuentes, Sebastián, Cortazar, Gonzalo, Ortega, Hector, Schwartz, Eduardo S.

“…A three-factor no-arbitrage stochastic commodity pricing model is calibrated to copper using analysts' predictions provided by Bloomberg's Commodity Price…”
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Are All Credit Default Swap Databases Equal? by Mayordomo, Sergio, Peña, Juan Ignacio, Schwartz, Eduardo S.

“…We compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5‐year CDS…”
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A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives by Trolle, Anders B., Schwartz, Eduardo S.

“…We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic…”
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The origin of LYONs: A case study in financial innovation by McConnell, John J., Schwartz, Eduardo S.

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The Swaption Cube by Trolle, Anders B., Schwartz, Eduardo S.

“…We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap…”
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Optimal exploration investments under price and geological-technical uncertainty: a real options model by Cortazar, Gonzalo, Schwartz, Eduardo S., Casassus, Jaime

“…This article develops a real options model for valuing natural resource exploration investments (e.g. oil or copper) when there is joint price and…”
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Commodity index risk premium by Cortazar, Gonzalo, Ortega, Hector, Rojas, Maximiliano, Schwartz, Eduardo S.

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Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange by Lucia, Julio J, Schwartz, Eduardo S

“…This paper examines the importance of the regular pattern in the behavior of electricity prices, and its implications for the purposes of derivative pricing…”
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Prepayment and the Valuation of Mortgage-Backed Securities by SCHWARTZ, EDUARDO S., TOROUS, WALTER N.

“…This paper puts forward a valuation framework for mortgage-backed securities. Rather than imposing an optimal, value-minimizing call condition, we assume that…”
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Rational Pricing of Internet Companies Revisited by Schwartz, Eduardo S., Moon, Mark

“…In this article we expand and improve the Internet company valuation model of Schwartz and Moon (2000) in numerous ways. By using techniques from real options…”
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