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Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
Full text linkRECCHIONI, Maria Cristina; SUN, Yu; TEDESCHI, Gabriele. Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model. Working Papers from Economics Department, Universitat Jaume I, núm. 2016/23The profound financial crisis generated by the collapse of Lehman Brothers and
the European sovereign debt crisis in 2011 have caused negative values of
government bond yields both in the U.S.A. and in the EURO area. This paper
investigates whether the use of models which allow for negative interest rates can
improve option pricing and implied volatility forecasting. This is done with
special attention to foreign exchange and index options. To this end, we carried
out an empirical analysis on the prices of call and put options on the U.S. S&P
500 index and Eurodollar futures using a generalization of the Heston model in
the stochastic interest rate framework. Specifically, the dynamics of the option’s
underlying asset is described by two factors: a stochastic variance and a stochastic
interest rate. The volatility is not allowed to be negative but the interest rate is.
Explicit formulas for the transition probability density function and moments are
derived. These formulas are used to estimate the model parameters efficiently.
Three empirical analyses are illustrated. The first two show that the use of models
which allow for negative interest rates can efficiently reproduce implied volatility
and forecast option prices (i.e., S&P index and foreign exchange options). The last
studies how the U.S. three-month government bond yield affects the U.S. S&P
500 index
SUN YU AND THE EARLY AMERICANIZATION OF CHINESE CINEMA
No full textWhat I intend to do here is a preliminary analysis on how some of the code of Hollywood narrative cinema arrived in China, and how these codes were developed suit local standards. One of the most prominent movie makers of the golden age of Chinese cinema has consciously and admittedly introduced Hollywood techniques and styles, both in the production as in the reception of national cinema, via a lyric yet realist, popular yet informed, consistent yet variegated cinematographic style. I am referring here to pioneer director Sun Yu 孫瑜 (1900-1990). Through a textual analysis I'll try to demonstrate how Sun Yu relevantly contributed to the globalization of this language - or "Americanization" if we consider Hollywood a synonymous for "American", and Hollywood mode of production a transcultural enterprise made by a collage of expertise, as well as a vertical, assembly line-production process
SUN YU AND THE EARLY AMERICANIZATION OF CHINESE CINEMA
No full textWhat I intend to do here is a preliminary analysis on how some of the code of Hollywood narrative cinema arrived in China, and how these codes were developed suit local standards. One of the most prominent movie makers of the golden age of Chinese cinema has consciously and admittedly introduced Hollywood techniques and styles, both in the production as in the reception of national cinema, via a lyric yet realist, popular yet informed, consistent yet variegated cinematographic style. I am referring here to pioneer director Sun Yu 孫瑜 (1900-1990). Through a textual analysis I'll try to demonstrate how Sun Yu relevantly contributed to the globalization of this language - or "Americanization" if we consider Hollywood a synonymous for "American", and Hollywood mode of production a transcultural enterprise made by a collage of expertise, as well as a vertical, assembly line-production process
SUN YU AND THE EARLY AMERICANIZATION OF CHINESE CINEMA
No full textWhat I intend to do here is a preliminary analysis on how some of the code of Hollywood narrative cinema arrived in China, and how these codes were developed suit local standards. One of the most prominent movie makers of the golden age of Chinese cinema has consciously and admittedly introduced Hollywood techniques and styles, both in the production as in the reception of national cinema, via a lyric yet realist, popular yet informed, consistent yet variegated cinematographic style. I am referring here to pioneer director Sun Yu 孫瑜 (1900-1990). Through a textual analysis I'll try to demonstrate how Sun Yu relevantly contributed to the globalization of this language - or "Americanization" if we consider Hollywood a synonymous for "American", and Hollywood mode of production a transcultural enterprise made by a collage of expertise, as well as a vertical, assembly line-production process
Wang Cheng-li, Bohai Jianshi, Li Dian-fu & Sun Yu-liang, Bohai guo Yang Bao-long, Bohai-shi rumen
No full textYonglip Joo. Wang Cheng-li, Bohai Jianshi, Li Dian-fu & Sun Yu-liang, Bohai guo Yang Bao-long, Bohai-shi rumen. In: Cahiers d'Extrême-Asie, vol. 6, 1991. Numéro spécial Chamanisme coréen - Special Issue on Korean Shamanism. pp. 311-313
Analytically Tractable Stochastic Volatility Models in Asset and Option Pricing
Full text linkQuesta tesi si compone di quattro saggi sui modelli stocastici di volatilità in asset e option
pricing. Più precisamente, questa tesi si concentra sul tasso di interesse stocastico e sui
modelli di volatilità stocastica multiscala, con applicazioni in vari prodotti finanziari.
Nel primo saggio viene presentato un modello ibrido Heston-CIR (HCIR) con un tasso di
interesse stocastico. In questo saggio, sono state dedotte formule elementari esplicite per i
momenti relativi alle distribuzioni dei prezzi delle azioni, nonché formule efficaci per
approssimare i prezzi delle opzioni. Utilizzando i prezzi di call e put options europei sul
l'indice S&P 500 americano, questo studio empirico dimostra che il modello HCIR è migliore
del modello di Heston nell'interpretazione e nella previsione dei prezzi di call e put options.
Il secondo saggio è un ulteriore estensione del modello HCIR con due diverse applicazioni. La
prima applicazione utilizza il modello HCIR per interpretare la struttura a termine dei
rendimenti e per prevedere la loro tendenza al rialzo /ribasso. La seconda analisi è basata sui
valori della “long-term health endowment policy”. L'analisi empirica mostra che il tasso di
interesse stocastico gioca un ruolo cruciale come fattore di volatilità e fornisce un modello
multi-fattore che supera il modello di Heston nel predire prezzo della polizza assicurativa
sanitaria.
Nel terzo saggio è stato proposto un modello ibrido di tipo Heston Hull-White (HHW) per
descrivere le dinamiche di un prezzo di asset con volatilità e tasso di interesse stocastici che
tiene conto di valori negativi. Nel lavoro sono state dedotte sia formule elementari esplicite
per la funzione di densità di probabilità di transizione della variabile prezzi degli asset che
formule in forma chiusa per stimare il prezzo delle opzioni. Nella prima analisi empirica è
stato calibrato il modello HHW utilizzando la cosiddetta implied volatility. La seconda analisi
empirica si concentra sui prezzi di futures Eurodollar e i corrispondenti prezzi delle opzioni
europee con una generalizzazione del modello di Heston con tassi di interesse stocastici. I
risultati relativi all’approssimazione e alla previsione sono molto interessanti. Ciò conferma
l'efficienza del modello di HHW e la necessità di considerare possibili valori negativi di tasso
di interesse.
Il quarto saggio descrive un modello di Heston ibrido e multiscala per il tasso di cambio a
pronti FX per poter considerare tassi di interesse stocastici. Il trattamento analitico del
modello è descritto in dettaglio sia considerando delle misure legate alla fisica che misura di
neutralità al rischio. In particolare, è stata derivata una formula per la funzione di densità di
transizione di probabilità usando un integrale a una dimensione di una funzione integrale
elementare che viene utilizzato per il prezzaggio delle opzioni call e put European Vanilla
Fu nü dai biao.
No full text劇本月刊編輯部編輯 ; 孫芋等著.獨幕劇.On cover: 獨幕劇選集.Ju ben yue kan bian ji bu bian ji ; Sun Yu deng zhu.Du mu ju.On cover: Du mu ju xuan ji
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
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