Showing 1 - 10 of 12
Financial time series exhibit multifractal scaling behaviour indicating a complex behaviour with long-range time correlations manifested on different intrinsic time scales. Such a behaviour typically points to the presence of recurrent economic cycles, crises, large fluctuations, and other...
Persistent link: https://www.econbiz.de/10013001409
Parametric volatility models can be seen as the result of some form of dimensionality reduction obtained by projecting the volatility surface into a basis of risk factors. Examples include polynomial models and stochastic volatility models having an explicit expression for the smile, such as the...
Persistent link: https://www.econbiz.de/10013221719
To capture the extra returns embedded in the tails of the market distributions, the literature focused on adding stochastic processes to the diffusion coefficient of the asset prices or even jumps to the asset prices as the drift was forced to match the risk-free rate. However, if we assume that...
Persistent link: https://www.econbiz.de/10013117761
Natural hazard events in 2010 and 2011 such as the eruption of the volcano Eyjafjallajokull on Iceland, the heatwave in Russia, the extreme floods in northeastern Australia, and more recently the earthquake followed by a tsunami at Fukushima in Japan demonstrated the vulnerability of the...
Persistent link: https://www.econbiz.de/10013124024
With short-term and seasonal variations filtered out, the data for the climate is closer to stationary, predictable for some time in the future and can be approximated with a Markov process, thus demonstrating that climate and weather time series exhibit diffeing characteristics. Hence, based on...
Persistent link: https://www.econbiz.de/10013145269
Dealing with a new topic around the climate change finance, we present the carbon market and its mechanism, focussing on the link between the EUA and the CER markets as well as explaining the challenges of carbon regulation and the economy of primary and secondary CERs. Assuming polluting...
Persistent link: https://www.econbiz.de/10013068573
We seek to estimate a portfolio of option prices in an entirely data driven way, at any future time, for trading and risk management purposes in a model independent way. We do not know the model driving the dynamics of the actual stock prices, but only observe discretely their evolution in the...
Persistent link: https://www.econbiz.de/10014355905
This is a textbook on Mathematical Finance for postgraduate students and bank practitioners. The course specifies on option pricing theory in addition to focussing on mathematical models as well as detailing some of their applications. Our aim is to make some of the most fundamental articles...
Persistent link: https://www.econbiz.de/10012847389
As part of a new approach to dealing with flood risk, we demonstrate that index-based derivatives can provide a hedge to protect sea front developers and governments against financial disruption in the aftermath of adverse climate events by allowing risks to be transferred between entities...
Persistent link: https://www.econbiz.de/10013094632
We present a general pricing approximation technique for European call option prices in a jump-diffusion model with stochastic interest rates. We consider the dynamics of the logarithm of the forward price, under the forward measure, in the class of multifactor Affine and Quadratic models...
Persistent link: https://www.econbiz.de/10013289276