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The Journal of Computational Finance最新文献

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Deep learning for discrete-time hedging in incomplete markets 不完全市场中离散时间对冲的深度学习
The Journal of Computational Finance Pub Date : 2021-08-31 DOI: 10.21314/jcf.2021.006
Simon Fecamp, Joseph Mikael, X. Warin
{"title":"Deep learning for discrete-time hedging in incomplete markets","authors":"Simon Fecamp, Joseph Mikael, X. Warin","doi":"10.21314/jcf.2021.006","DOIUrl":"https://doi.org/10.21314/jcf.2021.006","url":null,"abstract":"","PeriodicalId":400002,"journal":{"name":"The Journal of Computational Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116916655","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: 14
Nowcasting networks 重点学科网络
The Journal of Computational Finance Pub Date : 2020-11-27 DOI: 10.21314/jcf.2020.404
Marc Chataigner, S. Crépey, Jiang Pu
{"title":"Nowcasting networks","authors":"Marc Chataigner, S. Crépey, Jiang Pu","doi":"10.21314/jcf.2020.404","DOIUrl":"https://doi.org/10.21314/jcf.2020.404","url":null,"abstract":"We devise a neural network based compression/completion methodology for financial nowcasting. The latter is meant in a broad sense encompassing completion of gridded values, interpolation, or outlier detection, in the context of financial time series of curves or surfaces (also applicable in higher dimensions, at least in theory). In particular, we introduce an original architecture amenable to the treatment of data defined at variable grid nodes (by far the most common situation in financial nowcasting applications, so that PCA or classical autoencoder methods are not applicable). This is illustrated by three case studies on real data sets. First, we introduce our approach on repo curves data (with moving time-to-maturity as calendar time passes). Second, we show that our approach outperforms elementary interpolation benchmarks on an equity derivative surfaces data set (with moving time-to-maturity again). We also obtain a satisfying performance for outlier detection and surface completion. Third, we benchmark our approach against PCA on at-the-money swaption surfaces redefined at constant expiry/tenor grid nodes. Our approach is then shown to perform as well as (even if not obviously better than) the PCA which, however, is not be applicable to the native, raw data defined on a moving time-to-expiry grid).","PeriodicalId":400002,"journal":{"name":"The Journal of Computational Finance","volume":"106 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121892503","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
Quantization-based Bermudan option pricing in the foreign exchange world 外汇领域基于量化的百慕大期权定价
The Journal of Computational Finance Pub Date : 2019-11-13 DOI: 10.21314/JCF.2021.008
J. Fayolle, V. Lemaire, Thibaut Montes, G. Pagès
{"title":"Quantization-based Bermudan option pricing in the foreign exchange world","authors":"J. Fayolle, V. Lemaire, Thibaut Montes, G. Pagès","doi":"10.21314/JCF.2021.008","DOIUrl":"https://doi.org/10.21314/JCF.2021.008","url":null,"abstract":"This paper proposes two numerical solution based on Product Optimal Quantization for the pricing of Foreign Exchange (FX) linked long term Bermudan options e.g. Bermudan Power Reverse Dual Currency options, where we take into account stochastic domestic and foreign interest rates on top of stochastic FX rate, hence we consider a 3-factor model. For these two numerical methods, we give an estimation of the L-error induced by such approximations and we illustrate them with market-based examples that highlight the speed of such methods. Keywords— Foreign Exchange rates; Bermudan Options; Numerical method; Power Reverse Dual Currency; Product Optimal Quantization.","PeriodicalId":400002,"journal":{"name":"The Journal of Computational Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129256424","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
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options 将局部随机和路径相关的波动率模型校准为香草和非接触选项
The Journal of Computational Finance Pub Date : 2019-11-03 DOI: 10.21314/JCF.2020.400
Alan Bain, Matthieu Mariapragassam, C. Reisinger
{"title":"Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options","authors":"Alan Bain, Matthieu Mariapragassam, C. Reisinger","doi":"10.21314/JCF.2020.400","DOIUrl":"https://doi.org/10.21314/JCF.2020.400","url":null,"abstract":"We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models. The method builds upon the forward partial integro-differential equation (PIDE) derived in Hambly et al. (2016), which allows fast computation of up-and-out call prices for the complete set of strikes, barriers and maturities. It also utilises a novel two-states particle method to estimate the Markovian projection of the variance onto the spot and running maximum. We detail a step-by-step procedure for a Heston-type local-stochastic volatility model with local vol-of-vol, as well as two path-dependent volatility models where the local volatility component depends on the running maximum. In numerical tests, we benchmark these new models against standard models for a set of EURUSD market data, all three models are seen to calibrate well within the market no-touch bid--ask.","PeriodicalId":400002,"journal":{"name":"The Journal of Computational Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129572948","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: 6
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models 抛物型方程Galerkin格式的稳定性和收敛性及其在时间非齐次lsamvy模型中Kolmogorov定价方程中的应用
The Journal of Computational Finance Pub Date : 1900-01-01 DOI: 10.21314/jcf.2021.014
Maximillian Gaß, K. Glau
{"title":"Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models","authors":"Maximillian Gaß, K. Glau","doi":"10.21314/jcf.2021.014","DOIUrl":"https://doi.org/10.21314/jcf.2021.014","url":null,"abstract":"","PeriodicalId":400002,"journal":{"name":"The Journal of Computational Finance","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131442461","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
Rainbows and transforms: semi-analytic formulas 彩虹与变换:半解析公式
The Journal of Computational Finance Pub Date : 1900-01-01 DOI: 10.21314/jcf.2021.009
Norberto Laghi
{"title":"Rainbows and transforms: semi-analytic formulas","authors":"Norberto Laghi","doi":"10.21314/jcf.2021.009","DOIUrl":"https://doi.org/10.21314/jcf.2021.009","url":null,"abstract":"","PeriodicalId":400002,"journal":{"name":"The Journal of Computational Finance","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127639525","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
Branching diffusions with jumps, and valuation with systemic counterparties 带有跳跃的分支扩散，以及带有系统性对手方的估值
The Journal of Computational Finance Pub Date : 1900-01-01 DOI: 10.21314/jcf.2021.011
Christoph Belak, Daniel Hoffmann, F. Seifried
{"title":"Branching diffusions with jumps, and valuation with systemic counterparties","authors":"Christoph Belak, Daniel Hoffmann, F. Seifried","doi":"10.21314/jcf.2021.011","DOIUrl":"https://doi.org/10.21314/jcf.2021.011","url":null,"abstract":"","PeriodicalId":400002,"journal":{"name":"The Journal of Computational Finance","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114330931","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
Pricing barrier options with deep backward stochastic differential equation methods 基于深度倒向随机微分方程方法的障碍期权定价
The Journal of Computational Finance Pub Date : 1900-01-01 DOI: 10.21314/jcf.2021.016
N. Ganesan, Yajie Yu, B. Hientzsch
{"title":"Pricing barrier options with deep backward stochastic differential equation methods","authors":"N. Ganesan, Yajie Yu, B. Hientzsch","doi":"10.21314/jcf.2021.016","DOIUrl":"https://doi.org/10.21314/jcf.2021.016","url":null,"abstract":"","PeriodicalId":400002,"journal":{"name":"The Journal of Computational Finance","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122683632","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: 3
Probabilistic machine learning for local volatility 局部波动的概率机器学习
The Journal of Computational Finance Pub Date : 1900-01-01 DOI: 10.21314/jcf.2021.012
Martin Tegner, S. Roberts
{"title":"Probabilistic machine learning for local volatility","authors":"Martin Tegner, S. Roberts","doi":"10.21314/jcf.2021.012","DOIUrl":"https://doi.org/10.21314/jcf.2021.012","url":null,"abstract":"","PeriodicalId":400002,"journal":{"name":"The Journal of Computational Finance","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128582726","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
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