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Macroeconomic and monetary policy surprises and the term structure of interest rates

Pericoli, Marcello - Banca d'Italia - 2013

The no-arbitrage affine Gaussian term structure model is used to analyse the impact of macroeconomic surprises on the nominal and the real term structure in the euro area and in the United States. We find that nominal rates are affected by surprises in economic growth, the labour market and the...

Persistent link: https://www.econbiz.de/10011099653

Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models

Li, Minqiang; Mercurio, Fabio - Volkswirtschaftliche Fakultät, … - 2013

We develop an asymptotic expansion technique for pricing timer options under general stochastic volatility models around small volatility of variance. Closed-form approximation formulas have been obtained for the Heston model and the 3/2-model. The approximation has an easy-to-understand...

Persistent link: https://www.econbiz.de/10011110016

Analytic Approximation of Finite-Maturity Timer Option Prices

Li, Minqiang - Volkswirtschaftliche Fakultät, … - 2014

We develop an approximation technique for pricing finite-maturity timer options under Heston-like stochastic volatility models. By approximating the distributions of the accumulated variance and the random variance budget exceeding time, we obtain analytic expressions for timer option prices...

Persistent link: https://www.econbiz.de/10011111821

Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques

Chan, Raymond Hon Fu; Lee, Spike Tsz Ho; Wong, Wing-Keung - World Scientific Publishing Co. Pte. Ltd.

analysis, such as trend, trend Line, trend channel, Gann's Theory, moving averages, and Bollinger bands. It then introduces a … empirical mode decomposition in financial time series. The book also discusses the theory to test the performance of the …:</i></b><ul><li>Gann's Theory Unraveled</li><li>Bollinger Bands</li><li>Other Technical Analysis …

Persistent link: https://www.econbiz.de/10011156395

Risk-Sensitive Investment Management

Davis, Mark H A; Lleo, Sébastien - World Scientific Publishing Co. Pte. Ltd.

setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout …

Persistent link: https://www.econbiz.de/10011156399

Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych

Piasecki, Krzysztof - Volkswirtschaftliche Fakultät, … - 2011

The book is divided into five parts. The essence of behavioural finance is presented in the first parts. Fuzzy generalizations of some mathematical concepts are presented in the second part. The impact of selected behavioural premises for imprecise estimation of expected return is described in...

Persistent link: https://www.econbiz.de/10011260964

Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Russo, Francesco; Oudjane, Nadia; Goutte, Stéphane - Université Paris-Dauphine (Paris IX) - 2013

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...

Persistent link: https://www.econbiz.de/10011082464

Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach

Li, Minqiang - Volkswirtschaftliche Fakultät, … - 2014

Many derivatives products are directly or indirectly associated with integrated diffusion processes. We develop a general perturbation method to price those derivatives. We show that for any positive diffusion process, the hitting time of its integrated process is approximately normally...

Persistent link: https://www.econbiz.de/10011113493

Effectiveness of securities with fuzzy probabilistic return

Piasecki, Krzysztof - Volkswirtschaftliche Fakultät, … - 2011

The generalized fuzzy present value of a security is defined here as fuzzy valued utility of cash flow. The generalized fuzzy present value cannot depend on the value of future cash flow. There exists such a generalized fuzzy present value which is not a fuzzy present value in the sense given by...

Persistent link: https://www.econbiz.de/10011114526

The Merton Problem

Davis, Mark H. A.; Lleo, Sébastien - In: Risk-Sensitive Investment Management

, these papers made the key link with stochastic control theory. All theories of optimal investment in continuous time … developed since then, including the theory described in this book, are direct descendants of these early papers, and it is …

Persistent link: https://www.econbiz.de/10011206329