1,720,963 research outputs found
Moments of integrated exponential Lévy processes and applications to Asian options pricing
No full textWe find explicit formulas for the moments of the time integral of an exponential Lévy process. We consider both the cases of unconditional moments and conditional on the Lévy process level at the endpoints of the time interval. We propose a new methodology for reconstructing the unknown density of the time integral based on unconditional moments and an efficient simulation scheme based on conditional moments. These methodologies are applied for Asian option pricing, an important problem in financial literature
Asian options pricing in Hawkes-type jump-diffusion models.
Full text linkIn this paper we propose a method for pricing Asian options in market models with the risky asset dynamics driven by a Hawkes process with exponential kernel. For these processes the couple is affine, this property allows to extend the general methodology introduced by Hubalek, Keller-Ressel and Sgarra (2017) for Geometric Asian option pricing to jump-diffusion models with stochastic jump intensity. Although the system of ordinary differential equations providing the characteristic function of the related affine process cannot be solved in closed form, a COS-type algorithm allows to obtain the relevant quantities needed for options valuation. We describe, by means of graphical illustrations, the dependence of Asian options prices by the main parameters of the driving Hawkes process. Finally, by using Geometric Asian options values as control variates, we show that Arithmetic Asian options prices can be computed in a fast and efficient way by a standard Monte Carlo method
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process
Full text linkWe propose an extension of the Γ -OU Barndorff-Nielsen and Shephard model taking into account jump clustering phenomena. We assume that the intensity process of the Hawkes driver coincides, up to a constant, with the variance process. By applying the theory of continuous-state branching processes with immigration, we prove existence and uniqueness of strong solutions of the SDE governing the asset price dynamics. We propose a measure change of self-exciting Esscher type in order to describe the relation between the risk-neutral and the historical dynamics, showing that the Γ -OU Hawkes framework is stable under this probability change. By exploiting the affine features of the model we provide an explicit form for the Laplace transform of the asset log-return, for its quadratic variation and for the ergodic distribution of the variance process. We show that the proposed model exhibits a larger flexibility in comparison with the Γ -OU model, in spite of the same number of parameters required. We calibrate the model on market vanilla option prices via characteristic function inversion techniques, we study the price sensitivities and propose an exact simulation scheme. The main financial achievement is that implied volatility of options written on VIX is upward shaped due to the self-exciting property of Hawkes processes, in contrast with the usual downward slope exhibited by the Γ -OU Barndorff-Nielsen and Shephard model
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
Full text linkMean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient features of commodity markets, where Asian options are very popular. We propose a model which takes into account all these stylized features. We first state our model under the historical measure, then, after introducing a structure preserving change of measure, we provide a risk-neutral version of the same model and we show how to price geometric and arithmetic Asian options. To this end, we derive semi-closed formulas for the geometric Asian options price and develop a computationally efficient simulation scheme for the price process, allowing to price the arithmetic counterparts using control variate technique. Finally, we propose a simple econometric experiment to document presence of jump clusters in commodity prices and evaluate the performances of the proposed simulation scheme on some parameter sets calibrated on real data
Arbitrage-free Nelson–Siegel model for multiple yield curves
No full textWe propose an affine term structure model that allows for tenor-dependence of yield curves and thus for different risk categories in interbank rates, an important feature of post-crisis interest rate markets. The model has a Nelson–Siegel factor loading structure and thus economically well interpretable parameters. We show that the model is tractable in terms of estimation and provides good in-sample fit and out-of-sample forecasting performance. The proposed model is arbitrage-free across maturities and tenors, and thus perfectly suited for risk management and pricing purposes. We apply our framework to the pricing of caplets in order to illustrate its practical applicability and its suitability for stress testing
Unified Moment-Based Modeling of Integrated Stochastic Processes
No full textIn this paper, we present a new method for simulating integrals of stochastic processes. We focus on the nontrivial case of time integrals, conditional on the state variable levels at the endpoints of a time interval through a moment-based probability distribution construction. We present different classes of models with important uses in finance, medicine, epidemiology, climatology, bioeconomics, and physics. The method is generally applicable in well-posed moment problem settings. We study its convergence, point out its advantages through a series of numerical experiments, and compare its performance against existing schemes
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
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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