Derivatives eJournal最新文献

SINH-Acceleration for B-Spline Projection with Option Pricing Applications 带期权定价的b样条投影sinh加速

Derivatives eJournal Pub Date : 2021-09-11 DOI: 10.2139/ssrn.3921840

S. Boyarchenko, S. Levendorskii, J. Kirkby, Zhenyu Cui

引用次数: 11

The Making of Zero Curves 零曲线的制作

Derivatives eJournal Pub Date : 2021-08-31 DOI: 10.2139/ssrn.3917904

Emilio Barone, Gaia Barone, Jeffrey C. Williams

引用次数: 0

Caplet Formulae for Backward-Looking Term Rates with Hull-White Model 用Hull-White模型计算远期利率的套子公式

Derivatives eJournal Pub Date : 2021-08-23 DOI: 10.2139/ssrn.3909949

Takahiro Hasegawa

{"title":"Caplet Formulae for Backward-Looking Term Rates with Hull-White Model","authors":"Takahiro Hasegawa","doi":"10.2139/ssrn.3909949","DOIUrl":"https://doi.org/10.2139/ssrn.3909949","url":null,"abstract":"Currently, major term rates, Libors, have been discontinued in almost all interest rate markets, and some term rates which are implied and calculated from overnight rates that defied as risk free rates are becoming major term rates in the current interest rate markets. This situation causes that major term rates are becoming backward looking term rates instead of forward looking term rates such as Libors, while some pricing formulae for interest rate derivative whose underlyings are term rates have to be changed to handle backward looking term rates instead of forward looking term rates, as Libors. In this paper, I introduce some caplet formulae for backward looking term rates, and I focus on two types of backward looking term rate, whose ones are compound term rates and the others are arithmetic average term rates because compound term rates are adopted as floating rates of OIS contracts of EUR, GBP, and JPY, and arithmetic average term rate as floating rates of Fed Fund swap contracts, and underlyings for One month SOFR futures contracts. Therefore, it is meaningful to deal with both compound term rates and arithmetic average term rates to derive pricing formulae for interest rate derivatives. Based on the above, Introducing caplet formulae for underlyings of both compound term rates and arithmetic average term rates is significant for many market participants because currently backward looking term rates are becoming major term rates, and major styles of backward looking term rates are both compound term rates and arithmetic average term rates. I introduce caplet formulae for backward looking term rates whose calculations methods are compound and arithmetic average, and so I adopt interest rate model as Hull-White model for interest rate dynamics because Hull-White model is major short rate model, and currently accepted as interest rate dynamics for pricing and risk management in financial business fields.","PeriodicalId":439888,"journal":{"name":"Derivatives eJournal","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128855682","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

Carbon Negative Leveraged Investment Strategies 负碳杠杆投资策略

Derivatives eJournal Pub Date : 2021-08-12 DOI: 10.2139/ssrn.3906531

U. Erlandsson

引用次数: 0

An application of Lasso regression in Factor Augmented HAR models Lasso回归在因子增广HAR模型中的应用

Derivatives eJournal Pub Date : 2021-08-11 DOI: 10.2139/ssrn.3903359

Daniel Velásquez

{"title":"An application of Lasso regression in Factor Augmented HAR models","authors":"Daniel Velásquez","doi":"10.2139/ssrn.3903359","DOIUrl":"https://doi.org/10.2139/ssrn.3903359","url":null,"abstract":"Many questions have emerged in the econometric literature since the formulation of the heterogeneous autoregressive (HAR) model. Amongst them, what is the best way to estimate it? Furthermore, what variables we should include? Several approaches have arisen, for instance, decomposing the information available in datasets in common factors and adding them as explanatory variables. A second stream proposes numerous varieties of the Least Absolute Shrinkage and Selection Operator (Lasso) model for the automatic selection of the autoregressive structure of the unrestricted AR22. For such models, the selection of the sparsity parameter has a crucial role in the level of fitting and forecasting. In this paper, we aim to enter the discussion in two ways. The first one is by including the factors within the structure of the Lasso regression in the unrestricted AR22 and jointly selecting the variables to include in the autoregressive structure and the multiple common factors, leading to a parsimonious model with only the combination of variables that minimize a loss function. Second, by finding the sparsity parameter, we propose to minimize the BIC in-sample and minimize certain loss function based on the out-of-sample model’s forecasts. We perform the application on 15 Realized Volatilities of World Stock Indices. Our results evidence improvement in the fitting and forecasting afforded by the inclusion of the common factors and with the Lasso approach for model selection.","PeriodicalId":439888,"journal":{"name":"Derivatives eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133097287","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

Inverse Options in a Black-Scholes World 布莱克-斯科尔斯世界中的逆期权

Derivatives eJournal Pub Date : 2021-07-26 DOI: 10.2139/ssrn.3893037

C. Alexander, Arben Imeraj

引用次数: 3

The strategic allocation to style-integrated portfolios of commodity futures 商品期货风格整合投资组合的策略配置

Derivatives eJournal Pub Date : 2021-07-06 DOI: 10.2139/ssrn.3881179

H. Rad, Rand Kwong Yew Low, J. Miffre, R. Faff

引用次数: 1

Valuation of an Option to Exchange one Powered Bond for Another 以一种动力债券交换另一种动力债券的期权估值

Derivatives eJournal Pub Date : 2021-07-01 DOI: 10.2139/ssrn.3878105

Lloyd P. Blenman, Alberto Bueno-Guerrero