87,355 research outputs found
Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment ( Revised in May 2009; Electronic version of an article will be published in "International Journal of Theoretical and Applied Finance". [copyright world Scientific Publishing Company][http://www.worldscinet.com/ijtaf/] )
No full textThis paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is also proven. Then, numerical examples show that the instantaneous correlation between the asset value and the volatility state crucially affects the probability distribution and option prices for drawdown.
"Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment"
No full textThis paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is also proven. Then, numerical examples show that the instantaneous correlation between the asset value and the volatility state crucially affects the probability distribution and option prices for drawdown.
A unified approach to systemic risk measures via acceptance sets
No full textWe specify a general methodological framework for systemic risk measures via multi-dimensional acceptance sets and aggregation functions. Existing systemic risk measures can usually be interpreted as the minimal amount of cash needed to secure the system after aggregating individual risks. In contrast, our approach also includes systemic risk measures that can be interpreted as the minimal amount of cash that secures the aggregated system by allocating capital to the single institutions before aggregating the individual risks.
An important feature of our approach is the possibility of allocating cash according to the future
state of the system (scenario-dependent allocation). We illustrate with several examples the advantages of this feature.
We also provide conditions which ensure monotonicity, convexity, or quasi-convexity of our systemic risk measures
Variations on the Author
No full text“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
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
No full textA parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al [Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives, 2011, Cambridge University Press] to derive a first-order approximation of the price of options on a stock and its volatility index. This approximation is given by Heston’s quasi-closed formula and some of its Greeks. It can be efficiently calculated since it requires to compute only Fourier integrals and the solution of simple ODE systems. We exemplify the calibration of the model with S&P 500 and VIX data
Review of “Photometric DIC: A Unified Framework for Global Stereo Digital Image Correlation based on the Construction of Textured Digital Twins”
No full textOpen Review of the article ``Photometric DIC: a unified framework for global Stereo Digital Image Correlation based on the construction of textured digital twins'' by Raphaël Fouque et al. published in JTCAM (doi:10.46298/jtcam.7467
[Newspaper Clipping: Author Claims Evidence of Second JFK Assassin #1]
No full textNewspaper article titled "Author Claims Evidence of Second JFK Assassin." The article states that author Richard J. Whalen concluded "that there is circumstantial evidence to support the theory of a second assassin in the shooting of President John F. Kennedy.
Review of “Photometric DIC: A Unified Framework for Global Stereo Digital Image Correlation based on the Construction of Textured Digital Twins”
No full textOpen Review of the article ``Photometric DIC: a unified framework for global Stereo Digital Image Correlation based on the construction of textured digital twins'' by Raphaël Fouque et al. published in JTCAM (doi:10.46298/jtcam.7467
Also By The Same Author: AKTiveAuthor, a Citation Graph Approach to Name Disambiguation
No full textThe desire for definitive data and the semantic web drive for inference over heterogeneous data sources requires co-reference resolution to be performed on those data. In particular, name disambiguation is required to allow accurate publication lists, citation counts and impact measures to be determined. This paper describes a graph-based approach to author disambiguation on large-scale citation networks. Using self-citation, co-authorship and document source analyses, AKTiveAuthor clusters papers, achieving precision of 0.997 and recall of 0.818 over a test group of eight surname clusters
Review of “Photometric DIC: A Unified Framework for Global Stereo Digital Image Correlation based on the Construction of Textured Digital Twins”
No full textOpen Review of the article ``Photometric DIC: a unified framework for global Stereo Digital Image Correlation based on the construction of textured digital twins'' by Raphaël Fouque et al. published in JTCAM (doi:10.46298/jtcam.7467
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