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We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can a...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Multinomial Approximations American Options Merton's Model
2010/4/28
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Black--Scholes American Options
2010/4/28
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...
Quantum Portfolios of Observables and the Risk Neutral Valuation Model
Quantum Portfolios Observables Risk Neutral Valuation Model
2010/4/27
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral...
Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity,filtering dynamic program-ming principle
2010/4/27
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeli...
A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
model-insensitive First-hitting-time densities Application Equity default-swaps
2010/10/18
Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable re...
Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity filtering
2010/10/19
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity model...
A simple model of mortality trends aiming at universality: Lee Carter + Cohort
mortality trends aiming universality
2010/10/19
The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that ...
Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
Nonlinear Stochastic Model New York Vilnius Stock Exchanges
2010/10/19
We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.
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...
Diversity and Arbitrage in a Regulatory Breakup Model
Diversity Arbitrage Regulatory Breakup Model
2010/10/19
In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in equity markets. We ...
A proof of a conjecture in the Cramér-Lundberg model with investments
Cramer-Lundberg model ruin probabilit
2010/4/27
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma> 0.$ By ass...
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a self-organized model...
IS BROWNIAN MOTION NECESSARY TO MODEL HIGH-FREQUENCY DATA?
Semimartingale Brownian motion jumps finite activity infinite activity discrete sampling high frequency
2014/3/13
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuou...