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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models 制度转换跳跃扩散和随机波动模型下的有效亚洲期权定价
IF 1
Annals of Finance Pub Date : 2020-06-04 DOI: 10.1007/s10436-020-00366-0
J. Lars Kirkby, Duy Nguyen
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引用次数: 15
Forecasting volatility in bitcoin market 预测比特币市场的波动
IF 1
Annals of Finance Pub Date : 2020-06-03 DOI: 10.1007/s10436-020-00368-y
Mawuli Segnon, Stelios Bekiros
{"title":"Forecasting volatility in bitcoin market","authors":"Mawuli Segnon,&nbsp;Stelios Bekiros","doi":"10.1007/s10436-020-00368-y","DOIUrl":"10.1007/s10436-020-00368-y","url":null,"abstract":"<div><p>In this paper, we revisit the stylized facts of bitcoin markets and propose various approaches for modeling the dynamics governing the mean and variance processes. We first provide the statistical properties of our proposed models and study in detail their forecasting performance and adequacy by means of point and density forecasts. We adopt two loss functions and the model confidence set test to evaluate the predictive ability of the models and the likelihood ratio test to assess their adequacy. Our results confirm that bitcoin markets are characterized by <i>regime shifting</i>, <i>long memory</i> and <i>multifractality</i>. We find that the Markov switching multifractal and FIGARCH models outperform other GARCH-type models in forecasting bitcoin returns volatility. Furthermore, combined forecasts improve upon forecasts from individual models.\u0000</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 3","pages":"435 - 462"},"PeriodicalIF":1.0,"publicationDate":"2020-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00368-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50445549","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: 8
Optimal group size in microlending 微透镜中的最佳组大小
IF 1
Annals of Finance Pub Date : 2020-06-02 DOI: 10.2139/ssrn.3622257
P. Protter, Alejandra Quintos
{"title":"Optimal group size in microlending","authors":"P. Protter, Alejandra Quintos","doi":"10.2139/ssrn.3622257","DOIUrl":"https://doi.org/10.2139/ssrn.3622257","url":null,"abstract":"Microlending, where a bank lends to a small group of people without credit histories, began with the Grameen Bank in Bangladesh, and is widely seen as the creation of Muhammad Yunus, who received the Nobel Peace Prize in recognition of his largely successful efforts. Since that time the modeling of microlending has received a fair amount of academic attention. One of the issues not yet addressed in full detail, however, is the issue of the size of the group. Some attention has nevertheless been paid using an experimental and game theory approach. We, instead, take a mathematical approach to the issue of an optimal group size, where the goal is to minimize the probability of default of the group. To do this, one has to create a model with interacting forces, and to make precise the hypotheses of the model. We show that the original choice of Muhammad Yunus, of a group size of five people, is, under the right, and, we believe, reasonable hypotheses, either close to optimal, or even at times exactly optimal, i.e., the optimal group size is indeed five people.","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 1","pages":"121-132"},"PeriodicalIF":1.0,"publicationDate":"2020-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46615320","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
Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs 固定比例交易成本下资产定价的基本定理
IF 1
Annals of Finance Pub Date : 2020-05-26 DOI: 10.1007/s10436-020-00367-z
Martin Brown, Tomasz Zastawniak
{"title":"Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs","authors":"Martin Brown,&nbsp;Tomasz Zastawniak","doi":"10.1007/s10436-020-00367-z","DOIUrl":"10.1007/s10436-020-00367-z","url":null,"abstract":"<div><p>We show that the absence of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with values within the bid-ask intervals that satisfies the martingale property with respect to each of the measures. This extends Harrison and Pliska’s classical Fundamental Theorem of Asset Pricing to the case of combined fixed and proportional transaction costs.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 3","pages":"423 - 433"},"PeriodicalIF":1.0,"publicationDate":"2020-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00367-z","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50516132","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
Optimal compensation and investment affected by firm size and time-varying external factors 受企业规模和时变外部因素影响的最优薪酬和投资
IF 1
Annals of Finance Pub Date : 2020-05-20 DOI: 10.1007/s10436-020-00365-1
Chong Lai, Rui Li, Yonghong Wu
{"title":"Optimal compensation and investment affected by firm size and time-varying external factors","authors":"Chong Lai,&nbsp;Rui Li,&nbsp;Yonghong Wu","doi":"10.1007/s10436-020-00365-1","DOIUrl":"10.1007/s10436-020-00365-1","url":null,"abstract":"<div><p>We investigate a continuous dynamic model associated with a firm size term and with an external factor term, which possesses the following peculiarities: the drift term is dominated by the principal’s investment strategy and the agent’s effort; the volatility term relies on the function <span>(sqrt{G^2(t)+z_t})</span> in which <span>(G(t)ge 0)</span> is a continuously bounded function and is interpreted as external factors such as external variant risks, and <span>(z_t)</span> represents the firm size. The exact optimal contracts are obtained under full information. We find that the principal’s dividends in large firms are at lower risk since the flow of dividends increases with firm size. The optimal compensation scheme for the agent and investment plan for the principal are analyzed under specific assumptions. In extremely volatile environment with large <i>G</i>(<i>t</i>), the compensation for the agent would become overly large and the optimal investment is not achievable.\u0000</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 3","pages":"407 - 422"},"PeriodicalIF":1.0,"publicationDate":"2020-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00365-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50499834","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
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models 制度转换跳跃扩散和随机波动模型下的有效亚洲期权定价
IF 1
Annals of Finance Pub Date : 2020-04-14 DOI: 10.2139/ssrn.3575594
J. Kirkby, D. Nguyen
{"title":"Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models","authors":"J. Kirkby, D. Nguyen","doi":"10.2139/ssrn.3575594","DOIUrl":"https://doi.org/10.2139/ssrn.3575594","url":null,"abstract":"Utilizing frame duality and a FFT-based implementation of density projection we develop a novel and efficient transform method to price Asian options for very general asset dynamics, including regime switching Lévy processes and other jump diffusions as well as stochastic volatility models with jumps. The method combines continuous-time Markov chain approximation, with Fourier pricing techniques. In particular, our method encompasses Heston, Hull-White, Stein-Stein, 3/2 model as well as recently proposed Jacobi, $$alpha $$ α -Hypergeometric, and 4/2 models, for virtually any type of jump amplitude distribution in the return process. This framework thus provides a ‘ unified ’ approach to pricing Asian options in stochastic jump diffusion models and is readily extended to alternative exotic contracts. We also derive a characteristic function recursion by generalizing the Carverhill-Clewlow factorization which enables the application of transform methods in general. Numerical results are provided to illustrate the effectiveness of the method. Various extensions of this method have since been developed, including the pricing of barrier, American, and realized variance derivatives.","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"1 1","pages":"1-45"},"PeriodicalIF":1.0,"publicationDate":"2020-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44914874","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: 32
Leakage of rank-dependent functionally generated trading strategies 等级依赖函数生成交易策略的泄漏
IF 1
Annals of Finance Pub Date : 2020-04-08 DOI: 10.1007/s10436-020-00364-2
Kangjianan Xie
{"title":"Leakage of rank-dependent functionally generated trading strategies","authors":"Kangjianan Xie","doi":"10.1007/s10436-020-00364-2","DOIUrl":"https://doi.org/10.1007/s10436-020-00364-2","url":null,"abstract":"","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"106 1","pages":"573 - 591"},"PeriodicalIF":1.0,"publicationDate":"2020-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00364-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52108549","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
Proper measures of connectedness 连通性的适当衡量标准
IF 1
Annals of Finance Pub Date : 2020-04-08 DOI: 10.1007/s10436-020-00363-3
Mario Maggi, Maria-Laura Torrente, Pierpaolo Uberti
{"title":"Proper measures of connectedness","authors":"Mario Maggi,&nbsp;Maria-Laura Torrente,&nbsp;Pierpaolo Uberti","doi":"10.1007/s10436-020-00363-3","DOIUrl":"10.1007/s10436-020-00363-3","url":null,"abstract":"<div><p>The concept of connectedness has been widely used in financial applications, in particular for systemic risk detection. Despite its popularity, at the state of the art, a rigorous definition of connectedness is still missing. In this paper we propose a general definition of connectedness introducing the notion of proper measures of connectedness (PMCs). Based on the classical concept of mean introduced by Chisini, we define a family of PMCs and prove some useful properties. Further, we investigate whether the most popular measures of connectedness available in the literature are consistent with the proposed theoretical framework. We also compare different measures in terms of forecasting performances on real financial data. The empirical evidence shows the forecasting superiority of the PMCs compared to the measures that do not satisfy the theoretical properties. Moreover, the empirical results support the evidence that the PMCs can be useful to detect in advance financial bubbles, crises, and, in general, for systemic risk detection.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 4","pages":"547 - 571"},"PeriodicalIF":1.0,"publicationDate":"2020-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00363-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50460629","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
Leakage of rank-dependent functionally generated trading strategies 等级相关功能生成交易策略的泄漏
IF 1
Annals of Finance Pub Date : 2020-04-08 DOI: 10.1007/s10436-020-00364-2
Kangjianan Xie
{"title":"Leakage of rank-dependent functionally generated trading strategies","authors":"Kangjianan Xie","doi":"10.1007/s10436-020-00364-2","DOIUrl":"10.1007/s10436-020-00364-2","url":null,"abstract":"<div><p>This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading strategies due to renewing the portfolio constituent stocks. Theoretically, the leakage effect of a trading strategy is expressed explicitly by a finite-variation term. The computation of the leakage is different from what previous research has suggested. The method to estimate leakage in discrete time is then introduced with some practical considerations. An empirical example illustrates the leakage of the corresponding trading strategies under different constituent list sizes.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 4","pages":"573 - 591"},"PeriodicalIF":1.0,"publicationDate":"2020-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00364-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50460718","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
Transparency and market discipline: evidence from the Russian interbank market 透明度和市场纪律：来自俄罗斯银行间市场的证据
IF 1
Annals of Finance Pub Date : 2020-03-20 DOI: 10.1007/s10436-020-00361-5
François Guillemin, Maria Semenova
{"title":"Transparency and market discipline: evidence from the Russian interbank market","authors":"François Guillemin,&nbsp;Maria Semenova","doi":"10.1007/s10436-020-00361-5","DOIUrl":"10.1007/s10436-020-00361-5","url":null,"abstract":"<div><p>This article investigates the role of bank voluntary disclosure, as a source of information about risk, in the interbank market. Using data on the 179 largest Russian banks over the period of 2004–2013 we test whether the ability to attract interbank loans is sensitive to various transparency indices such as those disclosing bank risks, board composition, or even corporate event details. We show that larger but riskier banks—at least in terms of credit risk—behave more transparently and disclose more. The article is the first to provide evidence that the ability to attract funds in the interbank market is positively correlated with the degree of transparency. This result is stable for various aspects of disclosure.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"16 2","pages":"219 - 251"},"PeriodicalIF":1.0,"publicationDate":"2020-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-020-00361-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47163133","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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