Journal of Mathematical Finance最新文献

{"title":"Statistical Arbitrage Strategy in Multi-Asset Market Using Time Series Analysis","authors":"Takahiro Imai, Kei Nakagawa","doi":"10.4236/jmf.2020.102020","DOIUrl":"https://doi.org/10.4236/jmf.2020.102020","url":null,"abstract":"The statistical arbitrage strategy is one of the most traditional investment strategies. There are many theoretical and empirical studies until now. However, almost all of the statistical arbitrage strategies focus on the price difference (spread) between two similar assets in the same asset class and exploit the mean reversion of spreads, i.e. pairs trading. In this study, we extend the strategy to multiple assets in the multi-asset market. Although mean-reverting portfolios were derived based on a single criterion in related researches, we derive a mean-reverting portfolio by optimizing multiple mean-reversion criteria. We expect that a mean-reverting portfolio based on multiple indicators leads to a higher return/risk. We perform an empirical analysis in multi-asset market and show the profitability of our strategy.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116027013","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}

{"title":"An Approach of Price Process, Risk Measures and European Option Pricing Taking into Account the Rating","authors":"C. Tadmon, Eric Rostand Njike-Tchaptchet","doi":"10.4236/jmf.2020.102019","DOIUrl":"https://doi.org/10.4236/jmf.2020.102019","url":null,"abstract":"In this paper, by taking into account the rating in a new concept of economic space, we propose a model of the dynamics of an economic particle, a model of price process, an extension of risk measures, and a new approach of option pricing with associated hedging portfolio.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127860278","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}

{"title":"Analyzing China’s Term Structure of Interest Rates Using VAR and Nelson-Siegel Model","authors":"Min Ding","doi":"10.4236/jmf.2020.102015","DOIUrl":"https://doi.org/10.4236/jmf.2020.102015","url":null,"abstract":"China’s bonds market has developed rapidly in recent years. A further study of interest rate term structure is essential. Nelson-Siegel model is widely used to fit interest rate term structure around the world. In this essay, we try to find out whether Nelson-Siegel model is efficiency in China, and which model is most efficient among some typical variants of Nelson-Siegel model. After brief theoretical introduction, we conduct empirical analysis, which contains two sections. In the first session, we focus on fitting Chinese interest rate term structure using Nelson-Siegel model, and fitting efficiency turns out to be pretty good. In the second section, we establish a VAR model with macroeconomic variables to predict parameters in Nelson-Siegel model, and use the combination of VAR and NS model to predict interest rate term structure in 2019 and 2020 respectively. Also, in terms of prediction efficiency, VAR (Macro)-NS model performs better than both VAR-NS model without macroeconomic variables and simple NS model.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129809093","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}

{"title":"Ownership Structure Impact on Dividend Policy of Listed Companies on Vietnamese Securities Market","authors":"Dang Trung Kien, Yi-pei Chen","doi":"10.4236/jmf.2020.102014","DOIUrl":"https://doi.org/10.4236/jmf.2020.102014","url":null,"abstract":"This research aims to investigate the relationship between ownership structure and dividend policy of Vietnamese listed companies. The empirical findings show that the government-controlled companies, the companies with high concentrated ownership and with recent right issue activities would have higher dividend payments. In addition, due to the change of Vietnamese dividend tax rate to encourage the market development after global economic crisis, we discover that when the personal income tax rate at higher level of 5%, the sate-owned firms in Ho Chi Minh Stock Exchange would still pay higher dividends, which represents the dividend preferences of the investors, the status of firms’ stable development and the effectiveness of national economic policies.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114704250","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}

{"title":"Appraising Commercial Expenditure Efficiency of General Medical Education and Residency Programmes in Nigeria","authors":"C. Alozie, A. O. Ideh","doi":"10.4236/jmf.2020.102021","DOIUrl":"https://doi.org/10.4236/jmf.2020.102021","url":null,"abstract":"Purpose: The purpose of the research is to establish the standard period taken in full recovery of cost outlays, rate of returns for general physicians and marginal returns to consultants, and appropriate profitability indices. Mixed ex-post “facto” data and primary data-sets pertaining medical education expenditure across levels and lifecycle career earnings of Nigerian physicians in public service were employed. The longitudinal secondary and primary data-set were obtained from cohorts of physicians that participated in the two stages of medical education, published programmes charges posted in brochures of some public universities’ medical schools and gazette consolidated medical salaries scheme of scale for medical workers in the public service. Method of Analysis: Break-even analysis was applied to determine minimum number of years required to fully invested capital; “elaborate (full cash flows) discounting” with internal rate of return method was used for calculation of the private and marginal rate of returns. Then, profitability ratio approach was applied to determine the level of viability of medical education across levels. Cost construction indicates that about N30 million and N69.5 million are committed as investments on general medical education and residency training of the licensed general physicians and consultant-physicians respectively. The lifecycle career earnings estimates of the general practice physicians and consultant-physicians employed in the public service worth N356 million and 814 million. Results: The break-even period for full recovery of investments in general practice physicians is 5.25 around the thirteenth years of medical education and 6.33 years for residency-trained consultants, occurring in the 21st period of this layer of vocational training respectively. Individual rate of returns on investments in general medical education of average licensed general physicians is 32 percent and 32 percent marginal rate of returns to additional investment expenditures on residency training (earnings premium of consultant-physicians). This combined rate of returns of consultant-doctors (general medicine plus residency training) is 64 percent. Net present value of cash-flows of the average general physician and consultant-doctors in Nigeria is worth N326 million and N744 million respectively. Whilst the profitability index derived from the present value of net cash-flows is 1.32 for general physicians and 1.69 for the specialist. Conclusion: The paper concludes that investments to medical education in Nigeria are worth-while; but more rewarding for residency training. Timing of education (age-range when doctors get certified) influences the earnings and rate returns to investments and value of one’s intellectual capital and net-worth (statistical financial value of life). Contribution to Knowledge: The results of assessment of individual’s expenditure efficiency in medical/higher education confirm that investment in medica","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124725412","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}

{"title":"A General Framework of Derivatives Pricing","authors":"Liangliang Zhang","doi":"10.4236/jmf.2020.102016","DOIUrl":"https://doi.org/10.4236/jmf.2020.102016","url":null,"abstract":"In this paper, we outline a general framework of derivatives pricing. The framework consists of two modules. The first is a novel simulation and machine learning based calibration module and the second one is a pricing module, which originates from [1] and [2]. Numerical examples show good applicability of the proposed framework. The methodology of calibration utilizes machine learning and simulation methods, combined, to deliver high quality parameter inference results and the pricing module is generic and can be applied to any financial derivatives. The machine learning based pricing methodologies can also generate prices on a future simulation grid, which facilitates XVA computations. Our methodologies can be applied to any pricing problem and the calibration routine is general and useful whenever a parametric model needs to be estimated.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129932209","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}

{"title":"The Risk in the Insurance Field: A Generalized Analysis","authors":"R. Ferrentino, Luca Vota","doi":"10.4236/jmf.2020.101013","DOIUrl":"https://doi.org/10.4236/jmf.2020.101013","url":null,"abstract":"The current developments in the insurance system and the innovation in the financial sector have highlighted a series of problems connected to the measurement of the risk and the assessment of the global risk has taken on particular importance. The literature on this interesting topic has led to a new approach that allows to decompose the sources of uncertainty that feed the global risk, to understand the importance of each source and to determine its contribution. This article presents an innovative method to calculate some statistical measures, to quantify the relative importance of each source of uncertainty and to allow analysts, therefore, a certain degree of control over the insurance system. To this end, in the paper, some tools are used and analyzed in detail for the assessment of the financial risk related to the management of a portfolio of life insurances policies such as the coefficient of determination and the risk index of the portfolio, with particular regard to the contribution offered by the pooling risk. In addition, it is shown a measurement of the Arrow-Pratt risk premium, with respect to the demographic risk and the overall market risk, proving that for a risk averse insurer with a certain wealth the two values are in direct proportionality relation.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115008857","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}

{"title":"Optimal Entry and Exit Strategy under Uncertainty with Stochastic Volatility","authors":"Jin-wu Huang","doi":"10.4236/jmf.2020.101011","DOIUrl":"https://doi.org/10.4236/jmf.2020.101011","url":null,"abstract":"Motivated by previous papers with conventional models of Geometric Brownian Motion (Hereafter GBM) or Mean-Reverting (Hereafter MR), we discuss the classical investment timing problem in this paper by assuming the output price follows Heston-GBM process. That is, constant volatility in the classical GBM or MR framework is replaced by stochastic volatility in Heston-GBM model. We first derive the asymptotic solution for the investment timing problem. Then the impacts of stochastic volatility on trigger prices and the range of inaction are demonstrated by numerical simulation. Lastly, we examine the analytical properties of trigger prices and the range of inaction quantitatively as well as qualitatively.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131920770","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}

{"title":"Malliavin Differentiability of CEV-Type Heston Model","authors":"S. Tsumurai","doi":"10.4236/jmf.2020.101012","DOIUrl":"https://doi.org/10.4236/jmf.2020.101012","url":null,"abstract":"It is well known that Malliavin calculus can be applied to a stochastic differential equation with Lipschitz continuous coefficients in order to clarify the existence and the smootheness of the solution. In this paper, we apply Malliavin calculus to the CEV-type Heston model whose diffusion coefficient is non-Lipschitz continuous and prove the Malliavin differentiability of the model.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133609407","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}

{"title":"The Barrier Binary Options","authors":"Min Gao, Zhenfeng Wei","doi":"10.4236/jmf.2020.101010","DOIUrl":"https://doi.org/10.4236/jmf.2020.101010","url":null,"abstract":"We extend the binary options into barrier binary options and discuss the application of the optimal structure without a smooth-fit condition in the option pricing. We first review the existing work for the knock-in options and present the main results from the literature. Then we show that the price function of a knock-in American binary option can be expressed in terms of the price functions of simple barrier options and American options. For the knock-out binary options, the smooth-fit property does not hold when we apply the local time-space formula on curves. By the properties of Brownian motion and convergence theorems, we show how to calculate the expectation of the local time. In the financial analysis, we briefly compare the values of the American and European barrier binary options.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133829783","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}