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A note on Wick products and the fractional Black-Scholes model

Björk, Tomas; Hult, Henrik - 2005

In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...

Persistent link: https://www.econbiz.de/10010281205

Identification analysis in models with unrestricted latent variables: Fixed effects and initial conditions

Chesher, Andrew; Rosen, Adam M.; Zhang, Yuanqi - 2023

Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed effects" and, in dynamic models, initial conditions. This...

Persistent link: https://www.econbiz.de/10014480416

Unobserved Heterogeneity; Process and Parameter Effects in Life Insurance

Spreeuw, Jaap; Wolthuis, Henk - 1997

In this paper life insurance contracts based on an urn-of-urns model, with age-at-death asobservable variable, are analyzed. Premium payment functions based on the principles of“equivalence on an individual level” and “equivalence on a group level” are compared. Boththe aggregate loss...

Persistent link: https://www.econbiz.de/10010324630

Spectral estimation of the fractional order of a Lévy process

Belomestny, Denis - 2009

We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

Persistent link: https://www.econbiz.de/10010263764

Multivariate Copula Models at Work: Outperforming the desert island copula?

Fischer, Matthias J.; Köck, Christian; Schlüter, Stephan - 2007

Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas...

Persistent link: https://www.econbiz.de/10010299767

Das Äquivalenzprinzip der Finanzmathematik

Walther, Ursula - 2002

Das Äquivalenzprinzip der Finanzmathematik vergleicht und bewertet Zahlungsströme. Dazu ist eine Bewertung von Zeit und … Darstellungsweise gibt einen einheitlichen formalen Rahmen. In der Finanzmathematik wird Zeit durch Verzinsung bewertet. Bei der … two approaches. The classical Bernoulli's rule rests on individual preferences while modern capital market theory offers a …

Persistent link: https://www.econbiz.de/10010305677

On the Public Economics of Annuities with Differential Mortality

Bommier, Antoine; Leroux, Marie-Louise; Lozachmeur, … - 2010

This paper studies the problem of redistribution between individuals having different mortality rates. We use a continuous time model in which there are two types of individuals characterized by different survival probability paths. Individual preferences are represented by a generalized...

Persistent link: https://www.econbiz.de/10011753199

An note on the maximization of matrix valued Hankel determinants with application

Dette, Holger; Studden, W. J. - 2003

In this note we consider the problem of maximizing the determinant of moment matrices of matrix measures. The maximizing matrix measure can be characterized explicitly by having equal (matrix valued) weights at the zeros of classical (one dimensional) orthogonal polynomials. The results...

Persistent link: https://www.econbiz.de/10010306255

Detecting and measuring nonlinearity

Kotchoni, Rachidi - In: Econometrics 6 (2018) 3, pp. 1-27

This paper proposes an approach to measure the extent of nonlinearity of the exposure of a financial asset to a given risk factor. The proposed measure exploits the decomposition of a conditional expectation into its linear and nonlinear components. We illustrate the method with the measurement...

Persistent link: https://www.econbiz.de/10011995224

Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions

Zoia, Maria Grazia; Vacca, Gianmarco; Barbieri, Laura - In: Risks 8 (2020) 4, pp. 1-21

This paper develops an approach based on Gram-Charlier-like expansions for modeling financial series to take in due account features such as leptokurtosis. A Gram-Charlier-like expansion adjusts the moments of interest of a given distribution via its own orthogonal polynomials. This approach,...

Persistent link: https://www.econbiz.de/10013200656