We introduce an explicitly solvable multiscale stochastic volatility model that generalizes the Heston model. The model describes the dynamics of an asset price and of its two stochastic variances using a system of three Ito stochastic differential equations. The two stochastic variances vary on...

In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied . We propose a characterization of a particular class of coherent risk measures defined in [1]. The considered premium principles are obtained by expansion of TVar measures,...

We propose a new model to price defaultable bonds which incorporates features of both structural and reduced-form models of credit risk. The main novelty of the model is that the default intensity is described by an additional stochastic differential equation coupled with the process of the...

A numerical method to price double-barrier options with moving barriers is proposed. Using the so-called Boundary Element Method, an integral representation of the double-barrier option price is derived in which two of the integrand functions are not given explicitly but must be obtained solving...

A numerical method to price options with moving barrier and time-dependent rebate is proposed. In particular, using the so-called Boundary Element Method, an integral representation of the barrier option price is derived in which one of the integrand function is not given explicitly but must be...

We investigate the performance of the Heston stochastic volatility model in describing the probability distribution of returns both in the case of single assets and in the case of asset portfolios. The R. parameters of the Heston model are estimated from observed market prices using a simple...

In this paper we introduce a calibration procedure suitable for the validation of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appro- priate calibration technique makes the model able to describe price time series.The calibration...

In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series. We formulate the calibration problem as a...

Smart beta strategies across economic regimes seek to address inefficiencies created by market-based indices, thereby enhancing portfolio returns above traditional benchmarks. Our goal is to develop a strategy for re-hedging smart beta portfolios that shows the connection between multi-factor...