搜索结果: 1-15 共查到“金融市场 Volatility”相关记录30条 . 查询时间(0.123 秒)
We investigate the relationship between foreign direct ownership of firms and firm- and regionhighly robust, relationship between firm-level foreign ownership and volatility of value...
Libor model with expiry-wise stochastic volatility and displacement
displaced Libor models stochastic volatility calibration to capstrike maturity matrix swaption pricing
2012/4/28
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of...
Fund Flow Volatility and Performance
Open-end mutual funds performance differences cash holdings
2011/8/21
This paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flow...
The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volati...
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consist...
In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of its tails and the ...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage
2010/10/18
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model
2010/10/21
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model.To be more specific, we consider the conditional expectation of vari...
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given...
Asymptotic analysis for stochastic volatility: Edgeworth expansion
Asymptotic analysis stochastic volatility Edgeworth expansion
2010/10/19
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...
The fractional volatility model: No-arbitrage, leverage and risk measures
Fractional noise Arbitrage Incomplete market Risk measures
2010/10/21
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
Impact of elimination of uptick rule on stock market volatility
uptick rule stock market volatility
2010/10/18
The uptick rule is a former rule established by the SEC that required that every
short sale transaction be entered at a price that is higher than the price of the previous
trade. The purpose of this...
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
Law of the spot price local-stochastic volatility moment explosion
2010/10/20
We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the log-returns behave as...
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
Volatility smile Black-Sholes model no-arbitrage conditions
2010/10/19
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the stri...
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Basket options pricing local volatility jump-diffusion model forward PIDE
2010/10/19
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We deri...