Econometric Modeling: Derivatives eJournal最新文献_第10页

Sensitivity Analysis of Portfolio Credit Derivatives by Conditional Monte Carlo Simulation 基于条件蒙特卡罗模拟的组合信用衍生品敏感性分析

Econometric Modeling: Derivatives eJournal Pub Date : 2019-06-14 DOI: 10.2139/ssrn.3404231

Lei Lei, Yijie Peng, M. Fu, Jianqiang Hu

引用次数: 2

The TSLL Model: A Simple, Parametric Fit for the Implied Volatilities of VIX Options Inspired by the Shifted Lognormal Model TSLL模型:受移对数正态模型启发的VIX期权隐含波动率的简单参数拟合

Econometric Modeling: Derivatives eJournal Pub Date : 2019-06-12 DOI: 10.2139/ssrn.3403126

Michael Kamal

引用次数: 0

Oil And Asset Classes Implied Volatilities: Dynamic Connectedness And Investment Strategies 石油和资产类别隐含波动率:动态连通性和投资策略

Econometric Modeling: Derivatives eJournal Pub Date : 2019-06-06 DOI: 10.2139/ssrn.3399996

N. Antonakakis, J. Cuñado, G. Filis, David Gabauer, F. D. de Gracia

引用次数: 17

Metals' Price Elasticity of Normalized Excess Supply 常态化过剩供给下的金属价格弹性

Econometric Modeling: Derivatives eJournal Pub Date : 2019-06-01 DOI: 10.2139/ssrn.3696499

Ali Bashiri, Y. Lawryshyn

引用次数: 0

Hedging Strategy Influencing Derivative Investment on Investors 对冲策略对投资者衍生品投资的影响

Econometric Modeling: Derivatives eJournal Pub Date : 2019-05-20 DOI: 10.31142/IJTSRD23769

D. Rekha, Lavanya N.

{"title":"Hedging Strategy Influencing Derivative Investment on Investors","authors":"D. Rekha, Lavanya N.","doi":"10.31142/IJTSRD23769","DOIUrl":"https://doi.org/10.31142/IJTSRD23769","url":null,"abstract":"The paper titled “Hedging Strategy influence Derivative Investment on Investors�?. Generally Speaking in India Derivative contracts have not been majorly focused by investors, because of certain myths in the minds of people. Therefore Derivative Investment is not taken largely as on investment option by Individual investors. Many authors stated that derivative market is the marketplace in which traders come to exchange risks. In worldwide economy with divergent hazard exposures, derivatives permit businesses and traders to defend themselves from rapid price fluctuations and negative events. The aim of the article is to identify the major risk and hedging strategy in derivative market. In Derivative Contracts as a high risk that are Market risk, Liquidity risk, Credit risk, Counterparty risk, Legal risk and Transaction Risk. Pricing risk and systematic risk is also very important. Derivative investor must analyze the market and make the decisions while trading this will undergoes the uncertainty. Derivatives plays a major role for minimizing the risk involved in the marking an investment in futures contracts by expecting to get good result. The investors should also invest in options contracts which help to reduce the risk by use of hedging strategy. Hedging strategy is used for reducing the risk and maximization of profits. Though the futures contracts are subjected to high level the loss can be reduced to an extent by using the hedging strategy.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134551408","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

Bias Reduction in Nonlinear and Dynamic Panels in the Presence of Cross-Section Dependence 存在截面依赖的非线性和动态面板的偏压减小

Econometric Modeling: Derivatives eJournal Pub Date : 2019-05-16 DOI: 10.2139/ssrn.2157212

Cavit Pakel

引用次数: 6

Smiling Hyperbolas 微笑的双曲线

Econometric Modeling: Derivatives eJournal Pub Date : 2019-05-13 DOI: 10.2139/ssrn.2878034

A. Polishchuk

引用次数: 0

Equity Autocalls and Vanna Negative Carries: Pricing and Hedging with a Simple Add-On 股票自动赎回和Vanna负持有:定价和对冲与一个简单的附加组件

Econometric Modeling: Derivatives eJournal Pub Date : 2019-05-05 DOI: 10.2139/ssrn.3383122

G. Salon

{"title":"Equity Autocalls and Vanna Negative Carries: Pricing and Hedging with a Simple Add-On","authors":"G. Salon","doi":"10.2139/ssrn.3383122","DOIUrl":"https://doi.org/10.2139/ssrn.3383122","url":null,"abstract":"Autocall products: a toxic best-seller. \u0000 \u0000Over the past twenty years, the autocall pay-off has been the most traded exotic equity product. Outstandingly popular, it is mainly sold to final customers in Europe and Asia trough notes: its average yearly volumes reaches 100 billion euros. Nevertheless, it is responsible for major losses suffered by banks’ Exotic trading desks. Roughly, when the spot remains in a [80%,105%] area around the recall barrier, daily carry loss is worth 1 to 3 basis points (depending on the product complexity, as several variations exist). \u0000 \u0000Indeed, it shows a strong model-dependency due to the cancellation feature: when the spot moves, books need dynamic rehedging via vanilla options, forward contracts, correlation products. As such, it requires the use of a pricing model which correctly combines market data dynamics (volatility, repo, equity correlations, quanto drifts…) and spot dynamic, in order to price properly the cost of daily rehedging. \u0000 \u0000In practice, building a pricing model complex enough to calibrate the relevant covariances while remaining numerically stable and computationally reasonable has proved to be a very serious challenge. Not mentioning ultimately the need for comprehensive interpretations of outputs. Escaping this issue, we exhibit here, a convenient way to price and hedge autocalls toxic behaviors through an additional and corrective pay-off. \u0000 \u0000There are approximations throughout the building of such an approach that have been tested numerically and justified qualitatively. Nonetheless, this is cheaper in terms of model complexity and development, and it provides a comprehensive and efficient pricing scheme combined with a hedging strategy which tackles the issue of negative carries generated by an autocall replication strategy.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"22 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131725891","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

Residual Shape Risk on Natural Gas Market with Mixed Jump Diffusion 混合跳跃扩散下天然气市场的剩余形状风险

Econometric Modeling: Derivatives eJournal Pub Date : 2019-04-24 DOI: 10.2139/ssrn.3389599

K. Janda, J. Kouřílek

引用次数: 0

Efficient Conservative Second-Order Central-Upwind Schemes for Option-Pricing Problems 期权定价问题的有效保守二阶中心逆风方案

Econometric Modeling: Derivatives eJournal Pub Date : 2019-04-16 DOI: 10.21314/JCF.2019.363

Omishwary Bhatoo, A. Peer, E. Tadmor, D. Tangman, Aslam Aly El Faidal Saib

{"title":"Efficient Conservative Second-Order Central-Upwind Schemes for Option-Pricing Problems","authors":"Omishwary Bhatoo, A. Peer, E. Tadmor, D. Tangman, Aslam Aly El Faidal Saib","doi":"10.21314/JCF.2019.363","DOIUrl":"https://doi.org/10.21314/JCF.2019.363","url":null,"abstract":"The conservative Kurganov–Tadmor (KT) scheme has been successfully applied to option-pricing problems by Germán I. Ramírez-Espinoza and Matthias Ehrhardt. These included the valuation of European, Asian and nonlinear options as Black–Scholes partial differential equations, written in the conservative form, by simply updating fluxes in the black box approach. In this paper, we describe an improvement of this idea through a fully vectorized algorithm of nonoscillatory slope limiters and the efficient use of time solvers. We also propose the application of second-order extensions of KT to option-pricing problems. Our test problems solve one-dimensional benchmark and convection-dominated European options as well as digital and butterfly options. These demonstrate the robustness and flexibility of the pricing methods and set a basis for complex problems. Further, the computation of option Greeks ensures the reliability of these methods. Numerical experiments are performed on barrier options, early exercisable American options and two-dimensional fixed and floating strike Asian options. To the authors’ knowledge, this is the first time American options have been priced by applying the early exercise condition on the semi-discrete formulation of central-upwind schemes. Our results show second-order, nonoscillatory and high-resolution properties of the schemes as well as computational efficiency.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115260405","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