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FX Smile in the Heston Model
Heston model vanilla option stochastic volatility Monte Carlo simulation
2010/10/22
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is non-negative and mean-reverting, which is what we obs...
Improved Frechet bounds and model-free pricing of multi-asset options
copulas Frechet-Hoeffding bounds concordance order
2010/10/19
We compute the improved bounds on the copula of a bivariate random vector when partial information is available, such as the values of the copula on the subset of $[0,1]^2$, or the value of a function...
Optimal closing of a pair trade with a model containing jumps
a pair trade a model containing jumps
2010/10/19
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekstr\"om, ...
In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structu...
On the Penalisation Error for American Options in a Jump Model
American Option Jump-Di usion Model Penalty Method
2010/10/21
We consider the pricing of American options in a model where the underlying asset is assumed to follow a jump diffusion process. The option value can be expressed as the solution to a variational ineq...
The framework of this paper is that of uncertainty, that is when no reference probability measure is given. To every convex regular risk measure $\rho$ on ${\cal C}_b(\Omega)$, we associate a canonica...
Laplace transform analysis of a multiplicative asset transfer model
wealth distribution master equation Laplace transform Boltzmann entropy
2010/10/20
We analyze a simple asset transfer model in which the transfer amount is a fixed fraction $f$ of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, sol...
A Dynamical Model for Forecasting Operational Losses
Operational Risk Dynamical Systems Value at Risk
2010/10/21
A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into account the interactions a...
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Stochastic volatility Heston model fast mean-reversion
2010/10/21
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is...
Phase transition in a log-normal Markov functional model
Phase transition log-normal Markov functional model
2010/10/21
We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates in discrete time. The model is shown to have two distinct limiting states, corres...
The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the L\'evy LIBOR model of Eberlein and \"Ozkan (2005). Standard methods can be...
Evaluation of Social Risk Using Structural Equation Model
Social Risk Evaluation Structural Equation Models Unit Vector Constraint
2013/2/23
A quantitative method to evaluate social risk using structural equation model (SEM) is developed. Evaluation of social risk is the essential step in early warning of social risk. On the basic of the s...
A Multi Agent Model for the Limit Order Book Dynamics
Market Microstructure Econophysics Multi-Agent Models
2010/10/20
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mec...
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
Risk assessment uncertain cash flows Model ambiguity
2010/10/18
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into accou...
We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found to be robust against...