Applied Mathematical Finance最新文献_第8页

Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models 限制订单书，扩散近似和反映的spde:从微观到宏观模型

Applied Mathematical Finance Pub Date : 2018-08-21 DOI: 10.1080/1350486X.2020.1758176

B. Hambly, J. Kalsi, J. Newbury

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引用次数: 10

The Optimal Interaction between a Hedge Fund Manager and Investor 对冲基金经理与投资者之间的最优互动

Applied Mathematical Finance Pub Date : 2018-08-09 DOI: 10.1080/1350486X.2018.1506258

H. E. Ramirez, P. Johnson, P. Duck, S. Howell

{"title":"The Optimal Interaction between a Hedge Fund Manager and Investor","authors":"H. E. Ramirez, P. Johnson, P. Duck, S. Howell","doi":"10.1080/1350486X.2018.1506258","DOIUrl":"https://doi.org/10.1080/1350486X.2018.1506258","url":null,"abstract":"ABSTRACT This study explores hedge funds from the perspective of investors and the motivation behind their investments. We model a typical hedge fund contract between an investor and a manager, which includes the manager’s special reward scheme, i.e., partial ownership, incentives and early closure conditions. We present a continuous stochastic control problem for the manager’s wealth on a hedge fund comprising one risky asset and one riskless bond as a basis to calculate the investors’ wealth. Then we derive partial differential equations (PDEs) for each agent and numerically obtain the unique viscosity solution for these problems. Our model shows that the manager’s incentives are very high and therefore investors are not receiving profit compared to a riskless investment. We investigate a new type of hedge fund contract where the investor has the option to deposit additional money to the fund at half maturity time. Results show that investors’ inflow increases proportionally with the expected rate of return of the risky asset, but even in low rates of return, investors inflow money to keep the fund open. Finally, comparing the contracts with and without the option, we spot that investors are sometimes better off without the option to inflow money, thus creating a negative value of the option.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80201631","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

Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model 基于LIBOR市场模型的负利率现实世界情景

Applied Mathematical Finance Pub Date : 2018-07-09 DOI: 10.1080/1350486X.2018.1492348

S. Lopes, C. Vázquez

引用次数: 3

Option Pricing in Illiquid Markets with Jumps 非流动性跳跃市场中的期权定价

Applied Mathematical Finance Pub Date : 2018-07-04 DOI: 10.1080/1350486X.2019.1585267

José M. T. S. Cruz, D. Ševčovič

{"title":"Option Pricing in Illiquid Markets with Jumps","authors":"José M. T. S. Cruz, D. Ševčovič","doi":"10.1080/1350486X.2019.1585267","DOIUrl":"https://doi.org/10.1080/1350486X.2019.1585267","url":null,"abstract":"ABSTRACT The classical linear Black–Scholes model for pricing derivative securities is a popular model in the financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the assumption on the underlying asset price dynamics following a geometric Brownian motion. The main purpose of this paper is to generalize the classical Black–Scholes model for pricing derivative securities by taking into account feedback effects due to an influence of a large trader on the underlying asset price dynamics exhibiting random jumps. The assumption that an investor can trade large amounts of assets without affecting the underlying asset price itself is usually not satisfied, especially in illiquid markets. We generalize the Frey–Stremme nonlinear option pricing model for the case the underlying asset follows a Lévy stochastic process with jumps. We derive and analyze a fully nonlinear parabolic partial-integro differential equation for the price of the option contract. We propose a semi-implicit numerical discretization scheme and perform various numerical experiments showing the influence of a large trader and intensity of jumps on the option price.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90666725","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

Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model 混合主权风险模型下的主权CDS校准

Applied Mathematical Finance Pub Date : 2018-07-04 DOI: 10.1080/1350486X.2018.1554447

S. Diop, A. Pascucci, M. Di Francesco, G. De Marchi

引用次数: 0

A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus 基于Malliavin演算的指数加性过程均值-方差套期保值的数值高效闭形式表示

Applied Mathematical Finance Pub Date : 2018-05-04 DOI: 10.1080/1350486X.2018.1506259

Takuji Arai, Yuto Imai

引用次数: 1

Modelling Credit Risk in the Jump Threshold Framework 跳跃阈值框架下的信用风险建模

Applied Mathematical Finance Pub Date : 2018-04-26 DOI: 10.1080/1350486X.2018.1465349

Chun-Yuan Chiu, A. Kercheval

{"title":"Modelling Credit Risk in the Jump Threshold Framework","authors":"Chun-Yuan Chiu, A. Kercheval","doi":"10.1080/1350486X.2018.1465349","DOIUrl":"https://doi.org/10.1080/1350486X.2018.1465349","url":null,"abstract":"ABSTRACT The jump threshold framework for credit risk modelling developed by Garreau and Kercheval enjoys the advantages of both structural- and reduced-form models. In their article, the focus is on multidimensional default dependence, under the assumptions that stock prices follow an exponential Lévy process (i.i.d. log returns) and that interest rates and stock volatility are constant. Explicit formulas for default time distributions and basket credit default swap (CDS) prices are obtained when the default threshold is deterministic, but only in terms of expectations when the default threshold is stochastic. In this article, we restrict attention to the one-dimensional, single-name case in order to obtain explicit closed-form solutions for the default time distribution when the default threshold, interest rate and volatility are all stochastic. When the interest rate and volatility processes are affine diffusions and the stochastic default threshold is properly chosen, we provide explicit formulas for the default time distribution, prices of defaultable bonds and CDS premia. The main idea is to make use of the Duffie–Pan–Singleton method of evaluating expectations of exponential integrals of affine diffusions.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80509303","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 Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment 快速均值回归粗糙分数随机环境下的投资组合优化

Applied Mathematical Finance Pub Date : 2018-04-05 DOI: 10.1080/1350486X.2019.1584532

J. Fouque, Ruimeng Hu

引用次数: 5

Generalised Lyapunov Functions and Functionally Generated Trading Strategies 广义Lyapunov函数与函数生成交易策略

Applied Mathematical Finance Pub Date : 2018-01-23 DOI: 10.1080/1350486X.2019.1584041

Johannes Ruf, Kangjianan Xie

引用次数: 3

Volatility Targeting Using Delayed Diffusions 使用延迟扩散的波动率目标

Applied Mathematical Finance Pub Date : 2018-01-22 DOI: 10.1080/1350486X.2018.1493390

L. Torricelli

引用次数: 2