Applied Mathematical Finance最新文献_第10页

Robust barrier option pricing by frame projection under exponential Lévy dynamics 指数lsamvy动态下框架投影的鲁棒障碍期权定价

Applied Mathematical Finance Pub Date : 2017-07-04 DOI: 10.1080/1350486X.2017.1384701

J. Kirkby

引用次数: 12

On the modelling of nested risk-neutral stochastic processes with applications in insurance 嵌套风险中性随机过程的建模及其在保险中的应用

Applied Mathematical Finance Pub Date : 2017-07-04 DOI: 10.1080/1350486X.2017.1378583

S. Singor, A. Boer, J. Alberts, C. Oosterlee

引用次数: 5

A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures 风电期货定价的非高斯Ornstein-Uhlenbeck模型

Applied Mathematical Finance Pub Date : 2017-06-01 DOI: 10.1080/1350486X.2018.1438904

F. Benth, Anca Pircalabu

{"title":"A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures","authors":"F. Benth, Anca Pircalabu","doi":"10.1080/1350486X.2018.1438904","DOIUrl":"https://doi.org/10.1080/1350486X.2018.1438904","url":null,"abstract":"ABSTRACT The recent introduction of wind power futures written on the German wind power production index has brought with it new interesting challenges in terms of modelling and pricing. Some particularities of this product are the strong seasonal component embedded in the underlying, the fact that the wind index is bounded from both above and below and also that the futures are settled against a synthetically generated spot index. Here, we consider the non-Gaussian Ornstein–Uhlenbeck type processes proposed by Barndorff-Nielsen and Shephard in the context of modelling the wind power production index. We discuss the properties of the model and estimation of the model parameters. Further, the model allows for an analytical formula for pricing wind power futures. We provide an empirical study, where the model is calibrated to 37 years of German wind power production index that is synthetically generated assuming a constant level of installed capacity. Also, based on 1 year of observed prices for wind power futures with different delivery periods, we study the market price of risk. Generally, we find a negative risk premium whose magnitude decreases as the length of the delivery period increases. To further demonstrate the benefits of our proposed model, we address the pricing of European options written on wind power futures, which can be achieved through Fourier techniques.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"11 1","pages":"36 - 65"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88668348","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: 34

Dynamic Index Tracking and Risk Exposure Control Using Derivatives 动态指数跟踪和风险暴露控制使用衍生品

Applied Mathematical Finance Pub Date : 2017-05-29 DOI: 10.1080/1350486X.2018.1507750

Tim Leung, Brian Ward

引用次数: 6

Optimal accelerated share repurchases 最优加速股票回购

Applied Mathematical Finance Pub Date : 2017-05-04 DOI: 10.1080/1350486X.2017.1374870

S. Jaimungal, D. Kinzebulatov, D. Rubisov

{"title":"Optimal accelerated share repurchases","authors":"S. Jaimungal, D. Kinzebulatov, D. Rubisov","doi":"10.1080/1350486X.2017.1374870","DOIUrl":"https://doi.org/10.1080/1350486X.2017.1374870","url":null,"abstract":"ABSTRACT An accelerated share repurchase allows a firm to repurchase a significant portion of its shares immediately, while shifting the burden of reducing the impact and uncertainty in the trade to an intermediary. The intermediary must then purchase the shares from the market over several days, weeks or as much as several months. Some contracts allow the intermediary to specify when the repurchase ends, at which point the firm and the intermediary exchange the difference between the arrival price and the TWAP over the trading period plus a spread. Hence, the intermediary effectively has an American option embedded within an optimal execution problem. As a result, the firm receives a discounted spread relative to the no early exercise case. Here, we address the intermediary’s optimal execution and exit strategy taking into account the impact that trading has on the market. We demonstrate that it is optimal to exercise when the TWAP exceeds where is the midprice of the asset and is a deterministic function of time and inventory. Moreover, we develop a dimensional reduction of the stochastic control and stopping problem and implement an efficient numerical scheme to compute the optimal trading and exit strategies. We also provide bounds on the optimal strategy and characterize the convexity and monotonicity of the optimal strategies in addition to exploring its behaviour numerically and through simulation studies.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"56 1","pages":"216 - 245"},"PeriodicalIF":0.0,"publicationDate":"2017-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86458902","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

Financial jeopardy 金融危机

Applied Mathematical Finance Pub Date : 2017-03-04 DOI: 10.1080/1350486X.2017.1353917

D. Madan

{"title":"Financial jeopardy","authors":"D. Madan","doi":"10.1080/1350486X.2017.1353917","DOIUrl":"https://doi.org/10.1080/1350486X.2017.1353917","url":null,"abstract":"ABSTRACT Learning the pre-limited liability value process of equity claims and its relationship to the stock price is an answer to the financial jeopardy question when observed option prices are the answer being given by the market. Constant dollar equity holder values, prior to the imposition of limited liability, are the signed conditional expectations of the integral of discounted net residual equity claims through all time. The stock is modelled as a limited liability claim imputing positive dividend flows to shareholders in certain circumstances coupled with a call option written on the integral of all discounted net residual equity claims. The underlying signed value has a known characteristic function when revenues and expenses are modelled as independent gamma processes. The stock price is a positive function of this signed underlying value, given by the solution of a partial integro differential equation. Options on the stock are then options on this function of the signed underlying value and are solved for using its density obtained by Fourier inversion of the characteristic function. The calibration of model parameters, the imputed dividend function and the terminal call strike is conducted on option prices at a single maturity for four underliers, and In all these cases it is observed that risk neutrally up moves arrive more frequently and are generally smaller while down moves are less frequent and are larger. The terminal option strikes were in the money for and , and out of the money for and","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"36 1","pages":"155 - 173"},"PeriodicalIF":0.0,"publicationDate":"2017-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77564466","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

Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis 具有交易成本和功率效用函数的离散时间投资组合选择:扰动分析

Applied Mathematical Finance Pub Date : 2017-03-04 DOI: 10.1080/1350486X.2017.1342551

Gary Quek, C. Atkinson

引用次数: 5

Optimal Decisions in a Time Priority Queue 时间优先队列中的最优决策

Applied Mathematical Finance Pub Date : 2017-02-04 DOI: 10.1080/1350486X.2018.1506257

Ryan Francis Donnelly, Luhui Gan

{"title":"Optimal Decisions in a Time Priority Queue","authors":"Ryan Francis Donnelly, Luhui Gan","doi":"10.1080/1350486X.2018.1506257","DOIUrl":"https://doi.org/10.1080/1350486X.2018.1506257","url":null,"abstract":"ABSTRACT We show how the position of a limit order (LO) in the queue influences the decision of whether to cancel the order or let it rest. Using ultra-high-frequency data from the Nasdaq exchange, we perform empirical analysis on various LO book events and propose novel ways for modelling some of these events, including cancellation of LOs in various positions and size of market orders. Based on our empirical findings, we develop a queuing model that captures stylized facts on the data. This model includes a distinct feature which allows for a potentially random effect due to the agent’s impulse control. We apply the queuing model in an algorithmic trading setting by considering an agent maximizing her expected utility through placing and cancelling of LOs. The agent’s optimal strategy is presented after calibrating the model to real data. A simulation study shows that for the same level of standard deviation of terminal wealth, the optimal strategy has a 2.5% higher mean compared to a strategy which ignores the effect of position, or an 8.8% lower standard deviation for the same level of mean. This extra gain stems from posting an LO during adverse conditions and obtaining a good queue position before conditions become favourable.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"5 1","pages":"107 - 147"},"PeriodicalIF":0.0,"publicationDate":"2017-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91354405","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: 9

Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management 优异表现与跟踪:主动与被动投资组合管理的动态资产配置

Applied Mathematical Finance Pub Date : 2017-01-30 DOI: 10.1080/1350486X.2018.1507751

A. Al-Aradi, S. Jaimungal

引用次数: 18

Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 利用具有随机现货/成交量相关和相关跳变的SLV模型对外汇期权的随机偏态进行建模

Applied Mathematical Finance Pub Date : 2017-01-10 DOI: 10.1080/1350486X.2017.1409641

A. Itkin

引用次数: 5