Showing 1 - 10 of 31
In this paper we introduce a new technology for the pricing of European options for a wide class of models. The method is based on a quantization technique that exploits the knowledge of the characteristic function for the price process in closed form, and is quick and accurate enough to...
Persistent link: https://www.econbiz.de/10012893828
Persistent link: https://www.econbiz.de/10012194906
In this paper we introduce a new jump-diffusion model for stock prices, which takes into account over and under-reaction of the market to incoming news. The jumps' impact on the assets dynamics is twofold: on one hand we use a Poisson process as a driver to obtain discontinuous trajectories and...
Persistent link: https://www.econbiz.de/10013019845
Persistent link: https://www.econbiz.de/10009776257
Persistent link: https://www.econbiz.de/10009656936
Persistent link: https://www.econbiz.de/10011900563
Persistent link: https://www.econbiz.de/10012498120
Persistent link: https://www.econbiz.de/10015130335
In the first part we consider a dynamical model for the number of defaults of a pool of names. The model is based on the notion of generalized Poisson process, allowing for more than one default in small time intervals, contrary to many alternative approaches to loss modeling. We illustrate how...
Persistent link: https://www.econbiz.de/10014058476
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the profit requirement that is asked to the trading desk. In the...
Persistent link: https://www.econbiz.de/10012949463