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On stochastic calculus related to financial assets without semimartingales
A-martingale weak k-order Brownian motion no-semimartingale utility maximization insider no-arbitrage viability hedging
2011/3/23
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to ...
An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
Term structure Stochastic volatility Wishart Autoregressive process
2011/4/2
This paper proposes an affine term structure model in a stochastic volatility setting. It provides a useful modeling tool to bridge the two strands of macroeconomic and finance research: the DSGE-VAR ...
On discrete stochastic processes with long-lasting time dependence
discrete stochastic processes long-lasting time dependence
2010/12/20
In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a...
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...
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...
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Option pricing stochastic volatility exponential Ornstein-Uhlenbeck model
2010/12/17
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed ...
Mathematical analysis of long tail economy using stochastic ranking processes
Mathematical analysis long tail economy stochastic ranking processes
2010/12/17
We present a new method of estimating the distribution of sales rates of, e.g., book titles at an online bookstore, from the time evolution of ranking data found at websites of the store. The method i...