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Antonov, Alexandre - 2012

implemented and do not contain any numerical integration.These formulas are important in volatility surface construction and CMS …

Persistent link: https://www.econbiz.de/10013108810

Testing momentum effectfor the US market : from equity to option strategies

Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

Persistent link: https://www.econbiz.de/10011757486

Mixing SABR Models for Negative Rates

Antonov, Alexandre - 2015

In the current low-interest-rate environment, extending option models to negative rates has become an important issue. In our previous paper, we introduced the Free SABR model, which is a natural and an attractive extension to the classical SABR model. In spite of its advantages over the Shifted...

Persistent link: https://www.econbiz.de/10013016587

Hedging the Counterparty Credit Risk of an Oil Company with Oil Futures Using Dynamic GARCH – A Derivative's Approach to Right-Way Risk

Lehrbass, Frank - 2014

If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right- or wrong-way exposures in respective commodity transaction. Identifying them is important, because otherwise credit costs might be inadequately calculated and wrong incentives...

Persistent link: https://www.econbiz.de/10013061102

A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility : A Probability Density Function Approach

Izmailov, Alexander - 2015

of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …

Persistent link: https://www.econbiz.de/10013022328

Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities : A Probability Density Function Approach

Izmailov, Alexander - 2015

volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options … volatility (Heston model) is expressive enough to enable derivation for the first time ever of corollary closed-form analytical … constant or stochastic volatility, will be below or above any set of thresholds at termination. Such assessments are absolutely …

Persistent link: https://www.econbiz.de/10013029750

Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies

Izmailov, Alexander - 2015

• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...

Persistent link: https://www.econbiz.de/10013032725

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper (contributor); … - 2005

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

Persistent link: https://www.econbiz.de/10003795292

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Pricing Under Rough Volatility

Bayer, Christian - 2016

From an analysis of the time series of volatility using recent high frequency data, Gatheral, Jaisson and Rosenbaum … previously showed that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at … any reasonable time scale. The resulting Rough Fractional Stochastic Volatility (RFSV) model is remarkably consistent with …

Persistent link: https://www.econbiz.de/10013005384