Showing 1 - 10 of 23
We introduce a general class of interest rate models in which the value of pure discount bonds can be expressed as a functional of some (low-dimensional) Markov process. At the abstract level this class includes all current models of practical importance. By specifying these models in...
Persistent link: https://www.econbiz.de/10005390650
We derive the density process of the minimal entropy martingale measure in the stochastic volatility model proposed by Barndorff-Nielsen and Shephard [2]. The density is represented by the logarithm of the value function for an investor with exponential utility and no claim issued, and a...
Persistent link: https://www.econbiz.de/10005390692
In this paper, we propose a heteroskedastic model in discrete time which converges, when the sampling interval goes to zero, towards the complete model with stochastic volatility in continuous time described in Hobson and Rogers (1998). Then, we study its stationarity and moment properties. In...
Persistent link: https://www.econbiz.de/10005390712
In this paper we discuss the superreplication of derivatives in a stochastic volatility model under the additional assumption that the volatility follows a bounded process. We characterize the value process of our superhedging strategy by an optimal-stopping problem in the context of the...
Persistent link: https://www.econbiz.de/10005390718
In this paper we analyse a stochastic volatility model that is an extension of the traditional Black-Scholes one. We price European options on several assets by using a superstrategy approach. We characterize the Markov superstrategies, and show that they are linked to a nonlinear PDE, called...
Persistent link: https://www.econbiz.de/10005390729
With the aim of modelling key stylized features of observational series from finance and turbulence a number of stochastic processes with normal inverse Gaussian marginals and various types of dependence structures are discussed. Ornstein-Uhlenbeck type processes, superpositions of such...
Persistent link: https://www.econbiz.de/10005390731
Persistent link: https://www.econbiz.de/10010847053
We consider an optimal investment and consumption problem for a Black–Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA utility functions. The dynamic programming approach leads...
Persistent link: https://www.econbiz.de/10010847054
In an incomplete financial market model, we study a flow in the space of equivalent martingale measures and the corresponding shifting perception of the fundamental value of a given asset. This allows us to capture the birth of a perceived bubble and to describe it as an initial submartingale...
Persistent link: https://www.econbiz.de/10010997053
Persistent link: https://www.econbiz.de/10010997054