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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

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

Boats and tides and "Trickle Down" theories: What economists presume about wellbeing when they employ stochastic process theory in modeling behavior

Anderson, Gordon - 2012

Aphorisms that "Rising tides raise all boats" or that material advances of the rich eventually "Trickle Down" to the poor are really maxims regarding the nature of stochastic processes that underlay the income/wellbeing paths of groups of individuals. This paper looks at the implications for the...

Persistent link: https://www.econbiz.de/10010309045

Modelling trades-through in a limit order book using hawkes processes

Toke, Ioane Muni; Pomponio, Fabrizio - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-22, pp. 1-23

The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors...

Persistent link: https://www.econbiz.de/10010309222

Stochastic linear programming with a distortion risk constraint

Bazovkin, Pavel; Mosler, Karl - 2011

Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the violation of restrictions. Such a model turns out to be appropriate for many applications and, principally, for the mean-risk portfolio selection problem. Each...

Persistent link: https://www.econbiz.de/10010311008

Robust estimation of zero-inflated count models

Staub, Kevin E.; Winkelmann, Rainer - 2009

Applications of zero-inflated count data models have proliferated in empirical economic research. There is a downside to this development, as zero-inflated Poisson or zero-inflated Negative Binomial Maximum Likelihood estimators are not robust to misspecification. In contrast, simple Poisson...

Persistent link: https://www.econbiz.de/10010315516

Simple tests for exogeneity of a binary explanatory variable in count data regression models

Staub, Kevin E. - 2009

This article investigates power and size of some tests for exogeneity of a binary explanatory variable in count models by conducting extensive Monte Carlo simulations. The tests under consideration are Hausman contrast tests as well as univariate Wald tests, including a new test of notably easy...

Persistent link: https://www.econbiz.de/10010315604