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Volatilities That Change with Time: The Temporal Behavior of the Distribution of Stock-Market Prices
spectral analysis noise reduction Rademacher distribution
2010/10/21
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior...
Approximations and asymptotics of upper hedging prices in multinomial models
Black-Scholes-Barenblatt equation contingent claim Cox-Ross-Rubinstein
2010/10/21
We give an exposition and numerical studies of upper hedging prices in multinomial models from the viewpoint of linear programming and the game-theoretic probability of Shafer and Vovk. We also show t...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
Relative Goods’ Prices, Pure Inflation, and The Phillips Correlation
Relative Goods Prices Pure Inflation The Phillips Correlation
2014/3/18
This paper uses a dynamic factor model for the quarterly changes in consumption goods’ prices in the United States since 1959 to separate them into three independent components: idiosyncratic relative...
THE IMPLICATIONS OF THE WTO NEGOTIATIONS ON THE CANADIAN CHICKEN MARKET: TWO REPRESENTATIONS OF CHICKEN AND STOCHASTIC WORLD PRICES
THE IMPLICATIONS THE WTO NEGOTIATIONS THE CANADIAN CHICKEN MARKET: TWO REPRESENTATIONS CHICKEN AND STOCHASTIC WORLD PRICES
2014/4/11
Current Doha Development Agenda (DDA) World Trade Organisation negotiations include proposals that would affect the trade barriers that protect Canada’s chicken producers from foreign competition. Th...
Small-Time Asymptotics of Option Prices and First Absolute Moments
option price absolute moment small-time asymptotics approximation
2010/10/20
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first cent...
上海财经大学宏观经济学课件Chapter16 Money and Business Cycles II: Sticky Prices and Nominal Wage Rates
上海财经大学 宏观经济学 课件 Chapter16 Money and Business Cycles II Sticky Prices and Nominal Wage Rates
2010/6/28
上海财经大学宏观经济学课件Chapter16 Money and Business Cycles II: Sticky Prices and Nominal Wage Rates。
上海财经大学宏观经济学课件Chapter6 Markets, Prices, Supply, and Demand
上海财经大学宏观经济学 课件 Chapter6 Markets Prices Supply Demand
2010/6/28
上海财经大学宏观经济学课件Chapter6 Markets, Prices, Supply, and Demand。
Modeling share prices of banks and bankrupts
share price modeling CPI prediction the USA bankruptcy
2010/10/19
Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demo...
The Center for Research in Security Prices（(CRSP）
The Center for Research in Security Prices CRSP
2010/1/20
The Center for Research in Security Prices (CRSP), located in the center of the Chicago financial district, is an integral part of the University of Chicago’s Graduate School of Business. Chicago Boot...
Consider a frictionless market trading a finite number of co-maturing European call and put options written on a risky asset plus an instrument with path-dependent payoff known as a weighted variance...
Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change
Econophysics Auction markets Private car license plate Regime change
2010/10/18
The private car license plates issued in Shanghai are bestowed the title of "the most expensive sheet iron all over the world", more expensive than gold. A citizen has to bid in an monthly auction to...
Determinants of New York City Residential Rental Prices
New York City Residential Rental Prices
2009/11/30
Determinants of New York City Residential Rental Prices.
Asymptotic behavior of prices of path dependent options
path dependent option Markov property Levy process Asian option partial barrier option asymptotic behavior
2010/11/3
In this paper, we give a numerical method for pricing long maturity,path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent optio...
Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect
gain/loss asymmetry leverage effect EGARCH retarded volatility model
2010/11/3
Previous research has shown that for stock indices, the most likely time until a return of a
particular size has been observed is longer for gains than for losses. We establish that this so-called ga...