Displaying similar documents to “Segregation and integration: a study of the behaviors of investors with extended value functions.”

Some short elements on hedging credit derivatives

Philippe Durand, Jean-Frédéric Jouanin (2007)

ESAIM: Probability and Statistics

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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...

Auctions with Untrustworthy Bidders

Braynov, Sviatoslav, Pavlov, Radoslav (2007)

Serdica Journal of Computing

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The paper analyzes auctions which are not completely enforceable. In such auctions, economic agents may fail to carry out their obligations, and parties involved cannot rely on external enforcement or control mechanisms for backing up a transaction. We propose two mechanisms that make bidders directly or indirectly reveal their trustworthiness. The first mechanism is based on discriminating bidding schedules that separate trustworthy from untrustworthy bidders. The second mechanism...