发布求助
文献互助 智能选刊 最新文献

ERN: Simulation Methods (Topic)最新文献

筛选
英文 中文
What Explains Risk Premia in Crude Oil Futures? 如何解释原油期货的风险溢价?
ERN: Simulation Methods (Topic) Pub Date : 2011-02-17 DOI: 10.2139/ssrn.1763231
Marko Melolinna
{"title":"What Explains Risk Premia in Crude Oil Futures?","authors":"Marko Melolinna","doi":"10.2139/ssrn.1763231","DOIUrl":"https://doi.org/10.2139/ssrn.1763231","url":null,"abstract":"This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in practice. Whilst the existence of the premia and the validity of the models can be established at certain time points, it turns out that the choice of sample period has a considerable effect on he results. Hence, the risk premia are highly timevarying. The study also establishes a model, based on speculative positions in the futures markets, which has some predictive power for future oil spot prices.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124335332","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: 27
Simple Robust Hedging with Nearby Contracts 邻近合约的简单稳健套期保值
ERN: Simulation Methods (Topic) Pub Date : 2010-11-02 DOI: 10.2139/ssrn.1701696
Liuren Wu, Jingyi Zhu
{"title":"Simple Robust Hedging with Nearby Contracts","authors":"Liuren Wu, Jingyi Zhu","doi":"10.2139/ssrn.1701696","DOIUrl":"https://doi.org/10.2139/ssrn.1701696","url":null,"abstract":"This paper proposes a new hedging strategy based on approximate matching of contract characteristics instead of risk sensitivities. The strategy hedges an option with three options at different maturities and strikes by matching the option function expansion along maturity and strike rather than risk factors. Its hedging effectiveness varies with the maturity and strike distance between the target and the hedge options, but is robust to variations in the underlying risk dynamics. Simulation analysis under different risk environments and historical analysis on S&P 500 index options both show that a wide spectrum of strike-maturity combinations can outperform dynamic delta hedging.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122624042","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: 10
Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity 保持单调性和凸性的美式期权的蒙特卡罗近似
ERN: Simulation Methods (Topic) Pub Date : 2010-10-30 DOI: 10.2139/ssrn.1703906
P. Del Moral, B. Rémillard, Sylvain Rubenthaler
{"title":"Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity","authors":"P. Del Moral, B. Rémillard, Sylvain Rubenthaler","doi":"10.2139/ssrn.1703906","DOIUrl":"https://doi.org/10.2139/ssrn.1703906","url":null,"abstract":"It can be shown that when the payoff function is convex and decreasing (respectively increasing) with respect to the underlying (multidimensional) assets, then the same is true for the value of the associated American option, provided some conditions are satisfied. In such a case, all Monte Carlo methods proposed so far in the literature do not preserve the convexity or monotonicity properties. In this paper, we propose a method of approximation for American options which can preserve both convexity and monotonicity. The resulting values can then be used to define exercise times and can also be used in combination with primal-dual methods to get sharper bounds. Other application of the algorithm include finding optimal hedging strategies.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"67 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115676561","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: 22
Finite Difference Based Calibration and Simulation 基于有限差分的标定与仿真
ERN: Simulation Methods (Topic) Pub Date : 2010-10-20 DOI: 10.2139/ssrn.1697545
J. Andreasen, B. Huge
{"title":"Finite Difference Based Calibration and Simulation","authors":"J. Andreasen, B. Huge","doi":"10.2139/ssrn.1697545","DOIUrl":"https://doi.org/10.2139/ssrn.1697545","url":null,"abstract":"In the context of a stochastic local volatility model, we present a numerical solution scheme that achieves full (discrete) consistency between calibration, finite difference solution and Monte-Carlo simulation. The method is based on an ADI finite difference discretisation of the model.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132585047","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: 7
Merger Simulation in a Two-Sided Market: The Case of the Dutch Daily Newspapers 双边市场中的并购模拟:以荷兰日报为例
ERN: Simulation Methods (Topic) Pub Date : 2010-09-30 DOI: 10.2139/ssrn.1694313
L. Filistrucchi, T. Klein, T. Michielsen
{"title":"Merger Simulation in a Two-Sided Market: The Case of the Dutch Daily Newspapers","authors":"L. Filistrucchi, T. Klein, T. Michielsen","doi":"10.2139/ssrn.1694313","DOIUrl":"https://doi.org/10.2139/ssrn.1694313","url":null,"abstract":"We develop a structural econometric framework that allows us to simulate the effects of mergers among two-sided platforms selling differentiated products. We apply the proposed methodology to the Dutch newspaper industry. Our structural model encompasses demands for differentiated products on both sides of the market and profit maximization by competing oligopolistic publishers who choose subscription and advertising prices, while taking the interactions between the two-sides of the market into account. We measure the sign and size of the indirect network effects between the two sides of the market and simulate the effects of a hypothetical merger on prices and welfare.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131044079","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: 19
Pretest Estimation in the Random Parameters Logit Model 随机参数Logit模型中的预检验估计
ERN: Simulation Methods (Topic) Pub Date : 2010-09-18 DOI: 10.1108/S0731-9053(2010)0000026008
Tong Zeng, Carter Hill
{"title":"Pretest Estimation in the Random Parameters Logit Model","authors":"Tong Zeng, Carter Hill","doi":"10.1108/S0731-9053(2010)0000026008","DOIUrl":"https://doi.org/10.1108/S0731-9053(2010)0000026008","url":null,"abstract":"In this paper we use Monte Carlo sampling experiments to examine the properties of pretest estimators in the random parameters logit (RPL) model. The pretests are for the presence of random parameters. We study the Lagrange multiplier (LM), likelihood ratio (LR), and Wald tests, using conditional logit as the restricted model. The LM test is the fastest test to implement among these three test procedures since it only uses restricted, conditional logit, estimates. However, the LM-based pretest estimator has poor risk properties. The ratio of LM-based pretest estimator root mean squared error (RMSE) to the random parameters logit model estimator RMSE diverges from one with increases in the standard deviation of the parameter distribution. The LR and Wald tests exhibit properties of consistent tests, with the power approaching one as the specification error increases, so that the pretest estimator is consistent. We explore the power of these three tests for the random parameters by calculating the empirical percentile values, size, and rejection rates of the test statistics. We find the power of LR and Wald tests decreases with increases in the mean of the coefficient distribution. The LM test has the weakest power for presence of the random coefficient in the RPL model.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133957663","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
Simulation of Diversified Portfolios in a Continuous Financial Market 连续金融市场中多元化投资组合的模拟
ERN: Simulation Methods (Topic) Pub Date : 2010-08-01 DOI: 10.2139/ssrn.2170212
E. Platen, Renata Rendek
{"title":"Simulation of Diversified Portfolios in a Continuous Financial Market","authors":"E. Platen, Renata Rendek","doi":"10.2139/ssrn.2170212","DOIUrl":"https://doi.org/10.2139/ssrn.2170212","url":null,"abstract":"The paper analyzes the simulated long-term behavior of well diversified portfolios in continuous financial markets. It focuses on the equi-weighted index and the market portfolio. The paper illustrates that the equally weighted portfolio constitutes a good proxy of the growth optimal portfolio, which maximizes expected logarithmic utility. The multi-asset market models considered include the Black-Scholes model, the Heston model, the ARCH diffusion model, the geometric Ornstein-Uhlenbeck volatility model and a multi-asset version of the minimal market model. All these models are simulated exactly or almost exactly over an extremely long period of time to analyze the long term growth of the respective portfolios. The paper illustrates the robustness of the diversification phenomenon when approximating the growth optimal portfolio by the equi-weighted index. Significant outperformance in the long run of the market capitalization weighted portfolio by the equi-weighted index is documented for different market models. Under the multi-asset minimal market model the equi-weighted index outperforms remarkably the market portfolio. In this case the benchmarked market portfolio is a strict supermartingale, whereas the benchmarked equi-weighted index is a martingale. Equal value weighting overcomes the strict supermartingale property that the benchmarked market portfolio inherits from its strict supermartingale constituents under this model.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122708190","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: 11
Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB 路径相关期权定价:基于MATLAB的拟蒙特卡罗仿真方法
ERN: Simulation Methods (Topic) Pub Date : 2010-07-01 DOI: 10.2139/ssrn.1659248
Jay F. K. Au Yeung
{"title":"Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB","authors":"Jay F. K. Au Yeung","doi":"10.2139/ssrn.1659248","DOIUrl":"https://doi.org/10.2139/ssrn.1659248","url":null,"abstract":"This paper presents a tailor-made discrete-time simulation model for valuing path-dependent options, such as lookback option, barrier option and Asian option. In the context of a real-life application that is interest to many students, we illustrate the option pricing by using Quasi Monte Carlo simulation methods. We give an Asian option pricing which relies heavily on the underlying asset path as a case study with the implementation of MATLAB code.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115384954","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
The Influence of Misspecification in Stochastic Frontier Analysis Models: A Simulation Approach 随机前沿分析模型错配的影响:一种模拟方法
ERN: Simulation Methods (Topic) Pub Date : 2010-06-16 DOI: 10.2139/ssrn.1625815
A. Meesters
{"title":"The Influence of Misspecification in Stochastic Frontier Analysis Models: A Simulation Approach","authors":"A. Meesters","doi":"10.2139/ssrn.1625815","DOIUrl":"https://doi.org/10.2139/ssrn.1625815","url":null,"abstract":"This paper examines the influence of misspecification in stochastic frontier analysis (SFA) models. It explores the impact of misspecification on frontier and efficiency estimates as well as efficiency scores. Using a simulation approach with several data generating processes the general findings are that variables for which is assumed that they influence technology/heterogeneity should also be included as variables that influence efficiency and the other way around.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115774960","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
Default Risk in Stochastic Volatility Models 随机波动模型中的违约风险
ERN: Simulation Methods (Topic) Pub Date : 2010-06-01 DOI: 10.2139/ssrn.1666782
H. Gersbach, N. Surulescu
{"title":"Default Risk in Stochastic Volatility Models","authors":"H. Gersbach, N. Surulescu","doi":"10.2139/ssrn.1666782","DOIUrl":"https://doi.org/10.2139/ssrn.1666782","url":null,"abstract":"We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility model predicts lower probabilities of default. The results may have implications for various financial applications.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133096478","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信