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Robustness for path-dependent volatility models

Rosestolato, Mauro; Vargiolu, Tiziano; Villani, Giovanna - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 2, pp. 137-167

Persistent link: https://www.econbiz.de/10010183217

Applying hedging strategies to estimate model risk and provision calculation

Elices, Alberto; Gimnez, Eduard - In: Quantitative finance 13 (2013) 7, pp. 1015-1028

Persistent link: https://www.econbiz.de/10010141828

CUTTING EDGE Calibration - Weighted Monte Carlo Most pricing models assume an asset behaviour and calibrate its parameters to fit the market. Weighted Monte Carlo is able to calibrate the market without making specific assumptions about the asset behaviour. When only vanilla products are considered, the asset behaviour may allow for arbitrage. The authors show that this is indeed the case and ...

Elices, Alberto; Giménez, Eduard - In: Risk : managing risk in the world's financial markets 19 (2006) 5, pp. 90-125

Persistent link: https://www.econbiz.de/10007288123

Option pricing - Perturbed Gaussian copula: Introducing the skew effect in co-dependence - Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation. If stochastic volatility is introduced, skewness ...

Elices, Alberto; Fouque, Jean-Pierre - In: Risk : managing risk in the world's financial markets 25 (2012) 1, pp. 94-100

Persistent link: https://www.econbiz.de/10009826555

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