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Exotic derivatives under stochastic volatility models with jumps
Double-barrier options volatility surface volatility derivatives forward starting options
2010/11/3
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass...
This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant inte...
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
explicit solution optimal stopping/optimal control problem models asset sale
2010/12/20
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposu...
The Question of Relaxation in the Wealth Exchange Models
Question Relaxation Wealth Exchange Models
2010/12/20
We look at the meaning of 'relaxation' in the wealth exchange models that are recently proposed in Econophysics to interpret the wealth distributions. To quantify and characterise the process of rela...
Detecting speculative bubbles created in experiments via decoupling in agent based models
Detecting speculative bubbles experiments decoupling agent models
2010/12/20
Proving the existence of speculative financial bubbles even a posteriori has proven exceedingly difficult so anticipating a speculative bubble ex ante would at first seem an impossible task. Still as...
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
integral option pricing formulas applications stochastic volatility interest rate models
2010/12/20
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The f...
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Multivariate Feller conditions structure models care
2010/12/17
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate ...
ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns
ARCH GARCH Models Martingale Volatility Finance Market Returns
2010/12/17
ARCH and GARCH models assume either i.i.d. or (what economists lable as) white noise as is usual in regression analysis while assuming memory in a conditional mean square fluctuation with stationary ...
Continuous growth models in terms of generalized logarithm and exponential functions
Continuous growth models generalized logarithm exponential functions
2010/12/17
Consider the one-parameter generalizations of the logarithmic and exponential functions which are obtained from the integration of non-symmetrical hyperboles. These generalizations coincide to the on...
No-Free-Lunch equivalences for exponential Levy models
No-Free-Lunch equivalences exponential Levy models
2010/12/17
We provide equivalence of numerous no-free-lunch type conditions for financial markets where the asset prices are modeled as exponential Levy processes, under possible convex constraints in the use of...
The numeraire portfolio in semimartingale financial models
portfolio semimartingale financial models
2010/12/17
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with...
Testing Continuous-Time Models of the Spot Interest Rate
Testing Continuous-Time Models Spot Interest Rate
2014/3/13
Testing Continuous-Time Models of the Spot Interest Rate.