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Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
Exponential Levy processes short-time asymptotics long-time asymp-totics implied volatility Lewis-Lipton formula.
2012/9/14
Exponential Levy processes can be used to model the evolution of various nancial variables such as FX rates, stock prices, etc. Considerable e orts have been devoted to pricing derivatives written o...
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Asymptotic exponential arbitrage large deviations continuous semimartingale model.
2012/9/14
The goal of this paper is to prove a result conjectured in F¨ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that Sis a continuous semimartingale and satisfies a large dev...
The Exact Implied Volatility Smile for Exponential L関y Models
Implied Volatility Exponential L磂vy.
2012/9/14
For any exponential L磂vy model whose diffusion component isnonzero, we provide an exact series representation for the implied volatility of a European call option. Numerical examples are provided.
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
Stability of the exponential utility maximization problem with respect to preferences
utility maximization exponential utility stability semimartingales utility-based prices
2012/6/5
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility. Two settings are studied. First, in a general semimartingale model where random...
Exponential Levy models with stochastic volatility and stochastic jump-intensity
spectral theory normal operator Levy process stochastic volatility stochastic jump-intensity
2012/6/4
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. Both the volatility and jump-intensity of the L\'evy process ...
Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price
rational expectations nancial bubbles speculation anchoring laboratory experiments behavioral model super-exponential growth
2012/6/2
We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two models that demonstrate with high statistical significance that these laboratory ...
Double Exponential Instability of Triangular Arbitrage Systems
Limits to arbitrage Recurrent sequences Matrix products Asynchronous systems
2012/4/28
This paper investigates arbitrage chains involving d currencies and d foreign exchange trader-arbitrageurs. The commonly recognized belief in economics and finance is that arbitrage has the effect of ...
Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
Stochastic control generalized verification theorem portfolio optimization indifference pricing exponential forward performance
2012/3/2
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, th...
Stability of exponential utility maximization with respect to market perturbations
Stability exponential utility market perturbations
2011/7/19
Abstract. We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
Equilibrium with exponential utility and non-negative consumption
Exponential Utility Arrow-Debreu Equilibrium Heterogeneous Economy
2011/7/4
We study a multi-period Arrow-Debreu equilibrium in a heterogeneous
economy populated by agents trading in a complete market. Each agent
is represented by an exponential utility function, where addi...
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
utility maximization power utility exponential L´ evy process discretization
2011/3/31
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon.
Exponential wealth distribution: a new approach from functional iteration theory
Exponential distribution statistical physics economic models
2011/3/31
Exponential distribution is ubiquitous in the framework of multi-agent systems. Usually, it appears as an equilibrium state in the asymptotic time evolution of statistical systems. It has been explain...
Exponential wealth distribution in a random market. A rigorous explanation
economic gas-like initial wealth wealth distribution
2011/3/31
In simulations of some economic gas-like models, the asymptotic regime shows an exponential wealth distribution, independently of the initial wealth distribution given to the system. The appearance of...