Stochastic volatility

Ebook "Stochastic calculus of variations in mathematical finance" demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options.

148p loivantrinh 29-10-2023 6 3   Download

Continued part 1, part 2 of ebook "Currents in industrial mathematics: From concepts to research to education" provides readers with content including: virtual production of filaments and fleeces; modeling and simulation of filtration processes; maximal material yield in gemstone cutting; robust state estimation of complex systems; option pricing in practice — Heston’s stochastic volatility model;...

334p dieptieuung 19-07-2023 2 2   Download

Part 1 of ebook "Applied quantitative finance (Third edition)" has presents the following content: market risk; vaR in high dimensional systems-a conditional correlation approach; multivariate volatility models; portfolio selection with spectral risk measures; implementation of local stochastic volatility model in FX derivatives; credit risk; estimating distance-to-default with a sector-specific liability adjustment via sequential monte carlo;...

244p dieptieuung 20-07-2023 5 3   Download

The paper "Predicting contractor failure using stochastic dynamics of economic and financial variables" examines the pattern of stochastic dynamics, which includes percentage changes, trends, and volatility for economic and financial variables of failed and nonfailed contractors and uses them to predict contractor failure. Contractor failure is defined as the termination of a contractor's operation.

9p runordie3 27-06-2022 7 5   Download

In this study, we investigated one of the most popular stochastic volatility pricing models, the Heston model, for European options. This paper deals with the implementation of a finite difference scheme to solve a two-dimensional partial differential equation form of the Heston model.

14p chauchaungayxua12 09-07-2021 13 1   Download

In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous literature in the area, these subjectivities are hindrances to reaching an overall conclusion on the performances of the models. In order to find out outperforming model in general not just in the contexts of studies, volatility models should be evaluated in many markets with the same methodology consisting both simple and complex models at different forecast horizon.

25p covid19 19-04-2020 10 3   Download

This paper extends the work of Chen and Chang (2010) and attempts to present a model for the optimal investment threshold and the real option value under price uncertainty from a different aspect of entry probability. I measure a financing policy by the debt ratio, a weight for the proportion of funding by debt relative to funding by equity. The weight is exogenously embedded in the stochastic optimization of an investment opportunity under price uncertainty. An entry probability, indicating the likelihood of an investment action optimally taken at a future time instant, is derived.

16p covid19 19-04-2020 12 0   Download

This study aims to model lenders’ haircut decision specifically for stocks. The mathematical model showed that lenders face a trade-off between profit and risk exposure in a secured loan; consequently, haircuts are determined in the solvency as a stochastic variable. It was assumed coherently to industry practice that lenders use parametric VaR for collateral valuation. In this model, lenders’ probability selection in the VaR approach indicates their risk tolerance, which was captured through to asset liquidity and market volatility expectations.

28p trinhthamhodang2 19-01-2020 25 0   Download

This paper investigates high frequency time-series features of stock returns and volatility on China's stock markets. The empirically observed probability distributions of log-returns are almost symmetric, highly leptokurtic, and characterized by a non-Gaussian profile for small index changes. Thus, the China's stock markets cannot be described by a random walk. We suggest that the correlation dynamics and stochastic changes of stock prices of China's stock markets are investigated by the Lorentz stable distribution.

34p chauchaungayxua2 19-01-2020 16 3   Download

It is a pleasure to edit the second volume of papers presented at the Mathematical Finance Seminar of New York University. These articles, written by some of the leading experts in financial modeling cover a variety of topics in this field. The volume is divided into three parts: (I) Estimation and Data-Driven Models, (II) Model Calibration and Option Volatility and (III) Pricing and Hedging. The papers in the section on "Estimation and Data-Driven Models" develop new econometric techniques for finance and, in some cases, apply them to derivatives.

379p haiduong_1 03-04-2013 53 14   Download

Financial markets have undergone tremendous growth and dramatic changes in the past two decades, with the volume of daily trading in currency markets hitting over a trillion US dollars and hundreds of billions of dollars in bond and stock markets. Deregulation and globalization have led to large-scale capital flows; this has raised new problems for finance as well as has further spurred competition among banks and financial institutions.

334p haiduong_1 03-04-2013 59 9   Download

Our methodology is based on a dynamic stochastic general equilibrium (DSGE) calibrated model augmented with endogenous market structures in line with recent developments in the macroeconomic literature (see Etro, 2009, for a survey). This model is perturbed with a realistic structural change to the cost structure, with the purpose to study the short and long term reactions of the economy. Therefore, our methodology is based on a solid theoretical framework and provides results that can be easily replicated by economists. However, it has some limitations that we need to point out.

48p bi_ve_sau 05-02-2013 48 3   Download

Issuance of Stability Bonds under joint and several guarantees would a priori lead to a situation where the prohibition on bailing out would be breached. In such a situation, a Member State would indeed be held liable irrespective of its 'regular' contributing key, should another Member State be unable to honour its financial commitments. In this case, an amendment to the Treaty would be necessary.

33p enter1cai 16-01-2013 40 2   Download

We build a three-factor term-structure of interest rates model and use it to price corporate bonds. The first two factors allow the risk-free term structure to shift and tilt. The third factor generates a stochastic credit-risk premium. To implement the model, we apply the Peterson and Stapleton (2002) diffusion approximation methodology. The method approximates a correlated and lagged-dependent lognormal diffusion processes. We then price options on credit-sensitive bonds.

27p taisaocothedung 12-01-2013 63 4   Download

In this note we consider the filtering problem for financial volatility that is an Ornstein-Ulhenbeck process from point process observation. This problem is investigated for a Markov-Feller process of which the Ornstein-Ulhenbeck process is a particular case.

10p tuanlocmuido 19-12-2012 44 3   Download

Continuous-time modeling in finance, though introduced by Louis Bachelier's 1900 thesis on the theory of speculation, really started with Merton's seminal work in the 1970s. Since then, the continuous-time paradigm has proved to be an immensely useful tool in finance and more generally economics. Continuous-time models are widely used to study issues that include the decision to optimally consume, save, and invest, portfolio choice under a variety of constraints, contingent claim pricing, capital accumulation, resource extraction, game theory, and more recently contract theory....

379p camchuong_1 10-12-2012 53 6   Download

ADVANCED TEXTS IN ECONOMETRICS General Editors Manuel Arellano Guido Imbens Grayham E. Mizon Adrian Pagan Mark Watson Advisory Editor C. W. J. Granger.Other Advanced Texts in conometrics ARCH: Selected Readings Edited by Robert F. Engle Asymptotic Theory for Integrated Processes By H. Peter Boswijk Bayesian Inference in Dynamic Econometric Models By Luc Bauwens, Michel Lubrano, and Jean-Fran¸ois Richard c Co-tegration, Error Correction, and the Econometric Analysis of Non-Stationary Data By Anindya Banerjee, Juan J. ...

534p transang3 29-09-2012 83 14   Download

Driven by the necessity to incorporate the observed stylized features of asset prices, continuous-time stochastic modeling has taken a predominant role in the financial literature over the past two decades. Most of the proposed models are particular cases of a stochastic volatility component driven by a Wiener process superposed with a pure-jump component accounting for the

0p baobinh1311 25-09-2012 58 8   Download

Stochastic volatility (SV) is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. In this book I bring together some of the main papers which have influenced the field of the econometrics of stochastic volatility with the hope that this will allow students and scholars to place this literature in a wider context.

534p vigro23 29-08-2012 53 13   Download

Web search engine: Markov chain theory Data Mining, Machine Learning: Data mining, Machine learning: Stochastic gradient, Markov chain Monte Carlo, Image processing: Markov random fields, Design of wireless communication systems: random matrix theory, Optimization of engineering processes: simulated annealing, genetic algorithms, Finance (option pricing, volatility models): Monte Carlo, dynamic models, Design of atomic bomb (Los Alamos): Markov chain Monte Carlo.

16p quangchien2205 30-03-2011 81 6   Download