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BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS 基于神经网络的多资产衍生品边界
arXiv: Computational Finance Pub Date : 2019-11-13 DOI: 10.1142/s0219024920500508
Luca De Gennaro Aquino, C. Bernard
{"title":"BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS","authors":"Luca De Gennaro Aquino, C. Bernard","doi":"10.1142/s0219024920500508","DOIUrl":"https://doi.org/10.1142/s0219024920500508","url":null,"abstract":"Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket options and include information on the prices of other similar options, such as spread options and/or basket options on subindices. We show that, in most cases, adding further constraints gives rise to bounds that are considerably tighter and discuss the maximizing/minimizing copulas achieving such bounds. Our approach follows the literature on constrained optimal transport and, in particular, builds on a recent paper by Eckstein and Kupper (2019, Appl. Math. Optim.).","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124313816","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Compact Finite Difference Method for Pricing European and American Options Under Jump-Diffusion Models 跳跃-扩散模型下欧美期权定价的紧致有限差分法
arXiv: Computational Finance Pub Date : 2018-04-22 DOI: 10.1007/978-981-16-4772-7_7
K. Patel, M. Mehra
{"title":"Compact Finite Difference Method for Pricing European and American Options Under Jump-Diffusion Models","authors":"K. Patel, M. Mehra","doi":"10.1007/978-981-16-4772-7_7","DOIUrl":"https://doi.org/10.1007/978-981-16-4772-7_7","url":null,"abstract":"","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130636261","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models 正态高斯逆模型二次套期保值策略的数值分析
arXiv: Computational Finance Pub Date : 2018-01-17 DOI: 10.1007/978-981-13-0605-1_1
Takuji Arai, Yuto Imai, Ryo Nakashima
{"title":"Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models","authors":"Takuji Arai, Yuto Imai, Ryo Nakashima","doi":"10.1007/978-981-13-0605-1_1","DOIUrl":"https://doi.org/10.1007/978-981-13-0605-1_1","url":null,"abstract":"","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127445780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Part 1: Training Sets & ASG Transforms 第1部分:训练集和ASG转换
arXiv: Computational Finance Pub Date : 2017-12-15 DOI: 10.13140/RG.2.2.25313.81760
Rilwan A. Adewoyin
{"title":"Part 1: Training Sets & ASG Transforms","authors":"Rilwan A. Adewoyin","doi":"10.13140/RG.2.2.25313.81760","DOIUrl":"https://doi.org/10.13140/RG.2.2.25313.81760","url":null,"abstract":"In this paper, I discuss a method to tackle the issues arising from the small data-sets available to data-scientists when building price predictive algorithms that use monthly/quarterly macro-financial indicators. I approach this by training separate classifiers on the equivalent dataset from a range of countries. Using these classifiers, a three level meta learning algorithm (MLA) is developed. I develop a transform, ASG, to create a country agnostic proxy for the macro-financial indicators. Using these proposed methods, I investigate the degree to which a predictive algorithm for the US 5Y bond price, predominantly using macro-financial indicators, can outperform an identical algorithm which only uses statistics deriving from previous price.","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2017-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121467791","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Feedback effect between Volatility of capital flows and financial stability: evidence from Democratic Republic of Congo 资本流动波动与金融稳定的反馈效应:来自刚果民主共和国的证据
arXiv: Computational Finance Pub Date : 2017-08-25 DOI: 10.1000/xyz123
Pinshi Paula
{"title":"Feedback effect between Volatility of capital flows and financial stability: evidence from Democratic Republic of Congo","authors":"Pinshi Paula","doi":"10.1000/xyz123","DOIUrl":"https://doi.org/10.1000/xyz123","url":null,"abstract":"Financial system being the place of metting capital flows (equality between saving and investment), a volatility of capital flows can destroy the robustness and good working of financial system, it means subvert financial stability. The same a weak financial system, few regulated and bad manage can exacerbate volatility of capital flows and finely undermine financial stability. The present study provides evidence on feedback effect between volatility of capital flows and financial stability in Democratic republic of Congo (DRC), and estimate the contributions of macroeconomic and macroprudential policies in the attenuation volatility of capital flows effects on financial stability and in the prevention of instability financial. Assessment dynamic regression model a la Feldstein-Horioka we showed that financial system is widely supplied and financed by internationals capital flows. This implicate Congolese economy is financially mobile, that can be dangerous for financial stability. The study dynamic econometric of financial system's absolute size, we stipulate financial system has a systemic weight on real economy. Hence a shock of financial system could have devastating effects on Congolese economy. We estimate a vector autoregressive (VAR) model for prove the bilateral causality and impacts of macroeconomic and macroprudential policies. With regard to results, it proved on the one there is a feedback effect between volatility of capital flows and financial stability, on the other hand macroeconomic and macroprudential policies can't attenuate volatility of capital flows and prevent instability financial. It prove macroprudential approach is given a better result than monetary policy. The implementation of framework macroprudential by Central Bank of Congo will be beneficial in the realization of financial stability and attenuation volatility of capital flows.Keywords: Volatility of capital flows, financial stability, macroeconomic and macroprudential policies","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2017-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125732853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations 转化为非线性平稳Black-Scholes方程的美式永久看跌期权的解析和数值结果
arXiv: Computational Finance Pub Date : 2017-07-02 DOI: 10.1007/978-3-319-61282-9_8
M. Grossinho, Yaser Faghan Kord, D. Ševčovič
{"title":"Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations","authors":"M. Grossinho, Yaser Faghan Kord, D. Ševčovič","doi":"10.1007/978-3-319-61282-9_8","DOIUrl":"https://doi.org/10.1007/978-3-319-61282-9_8","url":null,"abstract":"","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2017-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129503869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Numerical Study of Splitting Methods for American Option Valuation 美式期权估值分割方法的数值研究
arXiv: Computational Finance Pub Date : 2016-10-30 DOI: 10.1007/978-3-319-61282-9_20
K. I. Hout, R. Valkov
{"title":"Numerical Study of Splitting Methods for American Option Valuation","authors":"K. I. Hout, R. Valkov","doi":"10.1007/978-3-319-61282-9_20","DOIUrl":"https://doi.org/10.1007/978-3-319-61282-9_20","url":null,"abstract":"","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117135391","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Studies on Regional Wealth Inequalities: the case of Italy 区域财富不平等研究:以意大利为例
arXiv: Computational Finance Pub Date : 2016-02-17 DOI: 10.12693/APhysPolA.129.959
M. Ausloos, R. Cerqueti
{"title":"Studies on Regional Wealth Inequalities: the case of Italy","authors":"M. Ausloos, R. Cerqueti","doi":"10.12693/APhysPolA.129.959","DOIUrl":"https://doi.org/10.12693/APhysPolA.129.959","url":null,"abstract":"The paper contains a short review of techniques examining regional wealth inequalities based on recently published research work but is also presenting unpublished features. \u0000The data pertains to Italy (IT), over the period 2007-2011: the number of cities in regions, the number of inhabitants in cities and in regions, as well as the aggregated tax income of the cities and of regions. Frequency-size plots and cumulative distribution function plots, scatter plots and rank-size plots are displayed. The rank-size rule of a few cases is discussed. Yearly data of the aggregated tax income is transformed into a few indicators: the Gini, Theil, and Herfindahl-Hirschman indices. Numerical results confirm that IT is divided into very different regional realities. One region is selected for a short discussion: Molise. \u0000A note on the \"first digit Benford law\" for testing data validity is presented.","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128972865","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process Cox-Ingersoll-Ross过程欧拉离散格式的指数可积性
arXiv: Computational Finance Pub Date : 2015-12-17 DOI: 10.3934/DCDSB.2016101
A. Cozma, C. Reisinger
{"title":"Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process","authors":"A. Cozma, C. Reisinger","doi":"10.3934/DCDSB.2016101","DOIUrl":"https://doi.org/10.3934/DCDSB.2016101","url":null,"abstract":"We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a class of stochastic differential equations arising in finance. We prove that both implicit and explicit Euler-Maruyama discretizations for the CIR process preserve the exponential integrability of the exact solution for a wide range of parameters, and find lower bounds on the explosion time.","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123166162","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation Ornstein—Uhlenbeck过程驱动的随机波动模型中的期权定价。模拟
arXiv: Computational Finance Pub Date : 2015-12-17 DOI: 10.15559/15-VMSTA43
S. Kuchuk-Iatsenko, Y. Mishura
{"title":"Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation","authors":"S. Kuchuk-Iatsenko, Y. Mishura","doi":"10.15559/15-VMSTA43","DOIUrl":"https://doi.org/10.15559/15-VMSTA43","url":null,"abstract":"We consider a discrete-time approximation of paths of an Ornstein--Uhlenbeck process as a mean for estimation of a price of European call option in the model of financial market with stochastic volatility. The Euler--Maruyama approximation scheme is implemented. We determine the estimates for the option price for predetermined sets of parameters. The rate of convergence of the price and an average volatility when discretization intervals tighten are determined. Discretization precision is analyzed for the case where the exact value of the price can be derived.","PeriodicalId":197400,"journal":{"name":"arXiv: Computational Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116004856","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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