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An efficient lattice algorithm for the libor market model

Tim, Xiao - Volkswirtschaftliche Fakultät, … - 2011

The LIBOR Market Model (LMM or BGM) has become one of the most popular models for pricing interest rate products. It is …

Persistent link: https://www.econbiz.de/10009277289

Stochastic Volatility Model with Time-dependent Skew

Piterbarg, Vladimir - In: Applied Mathematical Finance 12 (2005) 2, pp. 147-185

A formula is derived for the 'effective' skew in a stochastic volatility model with a time-dependent local volatility function. The formula relates the total amount of skew generated by the model over a given time period to the time-dependent slope of the instantaneous local volatility function....

Persistent link: https://www.econbiz.de/10009279050

Aggregated, voluntary, and mandatory risk disclosure incentives: Evidence from UK FTSE all-share companies

Elshandidy, Tamer; Fraser, Ian; Hussainey, Khaled - In: International Review of Financial Analysis 30 (2013) C, pp. 320-333

This paper investigates the impact of corporate risk levels on aggregated, voluntary and mandatory risk disclosures in the annual report narratives of UK non-financial listed companies. We find that firms characterised by higher levels of systematic, financing risks and risk-adjusted returns and...

Persistent link: https://www.econbiz.de/10010730269

The sensitivity analysis of propagator for path independent quantum finance model

Kim, Min Jae; Hwang, Dong Il; Lee, Sun Young; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 847-863

inserting the propagator is the main characteristic that distinguishes quantum finance from the Libor market model (LMM) and the …

Persistent link: https://www.econbiz.de/10010588947

Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options

Borger, Reik; Heys, Jan van - In: Applied Mathematical Finance 17 (2010) 5, pp. 453-469

This work discusses the calibration of instantaneous Libor correlations in the Libor market model. We extend the existing calibration strategies by the incorporation of spread option implied correlation information. The correlation structure implied by constant maturity swap (CMS) spread options...

Persistent link: https://www.econbiz.de/10008675002

Of Chicken Entrails, Anthropology, and a Realistic Social Science

Riach, Peter; Rich, Judith - In: Feminist Economics 4 (1998) 3, pp. 187-191

Barbara Bergmann has advocated direct observation of market behavior by economists. There is a history of such activity in the area of labor market but that experimental work has mainly been conducted by noneconomists. We have followed the lead of these researchers and conducted audits of...

Persistent link: https://www.econbiz.de/10005484800

A COMPARISON OF GRADIENT ESTIMATION TECHNIQUES FOR EUROPEAN CALL OPTIONS

Cao, Lingyan; Guo, Zheng-Feng - In: Accounting & Taxation 4 (2012) 1, pp. 75-81

Assuming the underlying assets follow a Variance-Gamma (VG) process, we consider the problem of estimating gradients of a European call option by Monte Carlo simulation methods. In this paper, we compare indirect methods (finite difference techniques such as forward differences) and two direct...

Persistent link: https://www.econbiz.de/10011212150

Computation of Greeks using binomial trees in a jump-diffusion model

Suda, Shintaro; Muroi, Yoshifumi - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 93-110

We propose a new algorithm for computing the Greeks in jump-diffusion settings using binomial trees. We further … demonstrate that the Greeks for European options converge to the Malliavin Greeks in the continuous time model. Our proposed … algorithm is efficient, because the price and the Greeks (Delta, Gamma, Vega, and Rho) can be computed simultaneously …

Persistent link: https://www.econbiz.de/10011190671

Likelihood ratio gradient estimation for Meixner distribution and Lévy processes

Kawai, Reiichiro - In: Computational Statistics 27 (2012) 4, pp. 739-755

. Numerical results are presented in the context of financial Greeks to illustrate the effectiveness of our formulas along with …

Persistent link: https://www.econbiz.de/10010847943

Multidimensional quasi-Monte Carlo Malliavin Greeks

Petroni, Nicola Cufaro; Sabino, Piergiacomo - In: Decisions in Economics and Finance 36 (2013) 2, pp. 199-224

The aim of this paper is extensively investigate the performance of the estimators for the Greeks of multidimensional … setting also covers the analysis of formulas tailored for the second order Greeks of call options. Copyright Springer …

Persistent link: https://www.econbiz.de/10010993495