Econometric Modeling: Derivatives eJournal最新文献

A Macro Hedge for Implicit Options of Type §489 §489型隐含期权的宏观套期保值

Econometric Modeling: Derivatives eJournal Pub Date : 2021-09-19 DOI: 10.2139/ssrn.3926361

A. Miemiec

引用次数: 0

Net Buying Pressure and the Information in Bitcoin Option Trades 比特币期权交易中的净买入压力与信息

Econometric Modeling: Derivatives eJournal Pub Date : 2021-09-01 DOI: 10.2139/ssrn.3915901

C. Alexander, Jun Deng, J. Feng, Huning Wan

引用次数: 9

Futures Contract Collateralization and its Implications 期货合约抵押及其启示

Econometric Modeling: Derivatives eJournal Pub Date : 2021-08-31 DOI: 10.2139/ssrn.3921423

R. Jarrow, S. Kwok

引用次数: 0

Has Manipulation in the VIX Decreased? 波动率指数的操纵减少了吗?

Econometric Modeling: Derivatives eJournal Pub Date : 2021-08-30 DOI: 10.2139/ssrn.3874249

T. Baumgartner, Andre Guettler

引用次数: 0

Optimal Dynamic Futures Portfolio Under a Multifactor Gaussian Framework 多因素高斯框架下的最优动态期货投资组合

Econometric Modeling: Derivatives eJournal Pub Date : 2021-08-15 DOI: 10.2139/ssrn.3905578

Tim Leung, Yang Zhou

引用次数: 1

The Generalized Gamma Distribution as a Useful RND Under Heston’s Stochastic Volatility Model 在赫斯顿随机波动模型下，广义伽玛分布是一个有用的RND

Econometric Modeling: Derivatives eJournal Pub Date : 2021-08-12 DOI: 10.2139/ssrn.3906918

B. Boukai

{"title":"The Generalized Gamma Distribution as a Useful RND Under Heston’s Stochastic Volatility Model","authors":"B. Boukai","doi":"10.2139/ssrn.3906918","DOIUrl":"https://doi.org/10.2139/ssrn.3906918","url":null,"abstract":"Following Boukai (2021) we present the Generalized Gamma (GG) distribution as a possible RND for modeling European options prices under Heston's (1993) stochastic volatility (SV) model. This distribution is seen as especially useful in situations in which the spot's price follows a negatively skewed distribution and hence, Black-Scholes based (i.e. the log-normal distribution) modeling is largely inapt. We apply the GG distribution as RND to modeling current market option data on three large market-index ETFs, namely the SPY, IWM and QQQ as well as on the TLT (an ETF that tracks an index of long term US Treasury bonds). The current option chain of each of the three market-index ETFs shows of a pronounced skew of their volatility `smile' which indicates a likely distortion in the Black-Scholes modeling of such option data. Reflective of entirely different market expectations, this distortion appears not to exist in the TLT option data. We provide a thorough modeling of the available option data we have on each ETF (with the October 15, 2021 expiration) based on the GG distribution and compared it to the option pricing and RND modeling obtained directly from a well-calibrated Heston's (1993) SV model (both theoretically and empirically, using Monte-Carlo simulations of the spot's price). All three market-index ETFs exhibit negatively skewed distributions which are well-matched with those derived under the GG distribution as RND. The inadequacy of the Black-Scholes modeling in such instances which involve negatively skewed distribution is further illustrated by its impact on the hedging factor, delta, and the immediate implications to the retail trader. In contrast, for the TLT ETF, which exhibits no such distortion to the volatility `smile', the three pricing models (i.e. Heston's, Black-Scholes and Generalized Gamma) appear to yield similar results.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114831832","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

Risk Management with Variable Capital Utilization and Procyclical Collateral Capacity 可变资本利用和顺周期担保能力的风险管理

Econometric Modeling: Derivatives eJournal Pub Date : 2021-08-04 DOI: 10.2139/ssrn.3719158

Guojun Chen, Zhongjin Lu, Siddharth Vij

引用次数: 0

Financially Constrained Index Futures Arbitrage 金融约束指数期货套利

Econometric Modeling: Derivatives eJournal Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3895655

K. Glover, H. Hulley

引用次数: 0

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask 关于XVA模型风险你一直想知道却不敢问的一切

Econometric Modeling: Derivatives eJournal Pub Date : 2021-07-19 DOI: 10.2139/ssrn.3891120

Lorenzo Silotto, Marco Scaringi, M. Bianchetti

{"title":"Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask","authors":"Lorenzo Silotto, Marco Scaringi, M. Bianchetti","doi":"10.2139/ssrn.3891120","DOIUrl":"https://doi.org/10.2139/ssrn.3891120","url":null,"abstract":"Valuation adjustments, collectively named XVA, play an important role in modern derivatives pricing. XVA are an exotic pricing component since they require the forward simulation of multiple risk factors in order to compute the portfolio exposure including collateral, leading to a significant model risk and computational effort, even in case of plain vanilla trades. This work analyses the most critical model risk factors, meant as those to which XVA are most sensitive, finding an acceptable compromise between accuracy and performance. This task has been conducted in a complete context including a market standard multi-curve G2++ model calibrated on real market data, both Variation Margin and ISDA-SIMM dynamic Initial Margin, different collateralization schemes, and the most common linear and non-linear interest rates derivatives. Moreover, we considered an alternative analytical approach for XVA in case of uncollateralized Swaps. We show that a crucial element is the construction of a parsimonious time grid capable of capturing all periodical spikes arising in collateralized exposure during the Margin Period of Risk. To this end, we propose a workaround to efficiently capture all spikes. Moreover, we show that there exists a parameterization which allows to obtain accurate results in a reasonable time, which is a very important feature for practical applications. In order to address the valuation uncertainty linked to the existence of a range of different parameterizations, we calculate the Model Risk AVA (Additional Valuation Adjustment) for XVA according to the provisions of the EU Prudent Valuation regulation. Finally, this work can serve as an handbook containing step-by-step instructions for the implementation of a complete, realistic and robust modelling framework of collateralized exposure and XVA.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114271955","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

The Price Effects of Innovative Security Design 创新安全设计的价格效应

Econometric Modeling: Derivatives eJournal Pub Date : 2021-07-06 DOI: 10.2139/ssrn.3881268

Claire Célérier, B. Vallée, Gordon Y. Liao

引用次数: 1