1,720,966 research outputs found
Additive normal tempered stable processes for equity derivatives and power-law scaling
Full text linkWe introduce a simple additive process for equity index derivatives. The model generalizes Lévy Normal Tempered Stable processes (e.g. NIG and VG) with time-dependent parameters. It accurately fits the equity index volatility surfaces in the whole time range of quoted instruments, including options with small time-horizon (days) and long time-horizon (years). We introduce the model via its characteristic function. This allows using classical Fourier pricing techniques. We discuss the calibration issues in detail and we show that, in terms of mean squared error, calibration is on average two orders of magnitude better than both Lévy and Sato processes alternatives. We show that even if the model loses the classical stationarity property of Lévy processes, it presents interesting scaling properties for the calibrated parameters
On the implied volatility skew outside the at-the-money point
Full text linkThe small-maturity implied volatility of an asset pricing model is fully determined by the asymptotics of traded option prices, and thus model-free expressions are available. We show how by sharpening one such expression it is possible to derive a novel general formula for the leading order of the in-the-money and out-of-the money (ITM/OTM) implied volatility skew. We apply this formula to find expressions of the small maturity limiting skew of the Heston stochastic volatility model, of exponential L & eacute;vy models and their time changes, as well as that of some recently proposed pricing models with independent log returns
Synthetic forwards and cost of funding in the equity derivative market
Full text linkThis study introduces a new technique to recover the implicit discount factor in the derivative market using only European put and call prices: this discount is grounded in actual transactions in active markets. Moreover, this study identifies the implied cost of funding, over OIS, of major market players. Does a liquid equity market allow arbitrage? The key idea is that the (unique) forward contract -built using the put-call parity relation- contains information about the market discount factor: by no-arbitrage conditions we identify the implicit interest rate such that the forward contract value does not depend on the strike. The procedure is applied to options on S&P 500 and EURO STOXX 50 indices. There is statistical evidence that, in the EURO STOXX 50 market, the implicit interest rate curve coincides with the EUR OIS one, while, in the S&P 500 market, a cost of funding of, on average, 34 basis points is added on top of the USD OIS curve
Evaluation of sight deposits and central bank digital currency
No full textWe provide a market-based evaluation of sight deposits of banks when Central Bank Digital Currency (CBDC) is issued. We investigate the effects of different adoption rates (moderate, large or capped adoption), of different remuneration schemes and of the possibility of a bank -run. We perform the analysis at the aggregate level for the Euro area and the United States. We show that the effect of CBDC on deposit market value is small unless a large adoption rate is considered. The remuneration scheme plays a significant role only in the moderate/capped adoption scenario in relative terms and in a high interest rate environment. Instead, the possibility of a bank-run calibrated on the experience of the Euro area and of Greece during the debt crisis has little effect on the value of deposits even if a CBDC is introduced
A machine learning model for lapse prediction in life insurance contracts
No full textWe use the Random Forest methodology to predict the lapse decision of life insurance contracts by policyholders. The methodology outperforms the logistic model, even if features interactions are considered. We use global and local interpretability tools to investigate how the model works. We show that non-economic features (the time passed from the incipit of the contract and the time to expiry, as well as the insurance company and its commercial approach) play a significant effect in determining the lapse decision while economic/financial features (except the disposable income growth rate) play a limited effect. The analysis shows that linear models, such as the logistic model, are not adequate to capture the heterogeneity of financial decisions
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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