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International Journal of Theoretical and Applied Finance最新文献

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A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS 用于信用指数互换期权估值的莱维驱动的奥恩斯坦-乌伦贝克过程
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-01-05 DOI: 10.1142/s021902492350022x
YOSHIHIRO SHIRAI
{"title":"A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS","authors":"YOSHIHIRO SHIRAI","doi":"10.1142/s021902492350022x","DOIUrl":"https://doi.org/10.1142/s021902492350022x","url":null,"abstract":"<p>A Lévy-driven Ornstein–Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit index. Time evolution in credit markets is assumed to follow a gamma process in order to reflect the different speed at which credit products are exchanged with respect to securities, such as Treasuries, deemed risk-free. Formulas for the characteristic function, zero coupon bonds, moments of the process and its stationary distribution are derived. Numerical experiments showing convergence of standard numerical methods for the valuation PIDE to analytical and Monte Carlo solutions are shown. Calibration to market prices of options on a credit index is performed, and model- and market-implied summary statistics for the underlying credit spreads are estimated and compared.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"17 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2024-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140201781","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
Systemic Perspective of Term Risk in Bank Funding Markets 从系统角度看银行资金市场的定期风险
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2024-01-05 DOI: 10.1142/s0219024924500018
Andrea Macrina, Obeid Mahomed
{"title":"Systemic Perspective of Term Risk in Bank Funding Markets","authors":"Andrea Macrina, Obeid Mahomed","doi":"10.1142/s0219024924500018","DOIUrl":"https://doi.org/10.1142/s0219024924500018","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"91 7","pages":""},"PeriodicalIF":0.5,"publicationDate":"2024-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139450370","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 CHOICE WITH TIME HORIZON RISK 具有时间跨度风险的投资组合选择
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2023-12-29 DOI: 10.1142/s0219024923500267
ALEXIS DIRER
{"title":"PORTFOLIO CHOICE WITH TIME HORIZON RISK","authors":"ALEXIS DIRER","doi":"10.1142/s0219024923500267","DOIUrl":"https://doi.org/10.1142/s0219024923500267","url":null,"abstract":"<p>I study the allocation problem of investors who hold their portfolio until reaching a target wealth. The strategy suppresses final wealth uncertainty but creates a time horizon risk. I begin with a classical mean variance model transposed in the duration domain, then study a dynamic portfolio choice problem with Generalized Expected Discounted Utility preferences. Using long-term US return data, I show in the mean variance model that a large amount of time horizon risk can be diversified away by investing a significant share of equities. In the dynamic model, more impatient investors are also more averse to timing risk and invest less in equities. The optimal equity share is downward trending as accumulated wealth approaches its target.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"30 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140197807","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
ROUGH-HESTON LOCAL-VOLATILITY MODEL 粗略-斯特伦局部波动模型
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2023-12-27 DOI: 10.1142/s0219024923500218
ENRICO DALL’ACQUA, RICCARDO LONGONI, ANDREA PALLAVICINI
{"title":"ROUGH-HESTON LOCAL-VOLATILITY MODEL","authors":"ENRICO DALL’ACQUA, RICCARDO LONGONI, ANDREA PALLAVICINI","doi":"10.1142/s0219024923500218","DOIUrl":"https://doi.org/10.1142/s0219024923500218","url":null,"abstract":"<p>In industrial applications it is quite common to use stochastic-volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a local-volatility term. Here, we consider the case of singular Volterra processes, and we extend them by adding a local-volatility term to their Markov lift by preserving the stylized results implied by these models on plain-vanilla options. In particular, we focus on the rough-Heston model, and we analyze the small-time asymptotics of its implied local-volatility function in order to provide a proper extrapolation scheme to be used in calibration.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"25 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140197809","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
Short-Maturity Asymptotics for Option Prices with Interest Rates Effects 受利率影响的期权价格的短期渐近线
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2023-11-30 DOI: 10.1142/s0219024923500231
D. Pirjol, Lingjiong Zhu
{"title":"Short-Maturity Asymptotics for Option Prices with Interest Rates Effects","authors":"D. Pirjol, Lingjiong Zhu","doi":"10.1142/s0219024923500231","DOIUrl":"https://doi.org/10.1142/s0219024923500231","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"919 ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139204411","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
Polynomial Utility 多项式效用
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2023-11-30 DOI: 10.1142/s0219024923500243
A. S. Lollike, Mogens Steffensen
{"title":"Polynomial Utility","authors":"A. S. Lollike, Mogens Steffensen","doi":"10.1142/s0219024923500243","DOIUrl":"https://doi.org/10.1142/s0219024923500243","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"47 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139201830","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
A Representation of Keynes's long-term expectation in financial markets 凯恩斯长期预期在金融市场中的体现
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2023-11-30 DOI: 10.1142/s0219024923500255
Marcello Basili, Alain Chateauneuf, Giuliano Antonio Curatola, G. Scianna
{"title":"A Representation of Keynes's long-term expectation in financial markets","authors":"Marcello Basili, Alain Chateauneuf, Giuliano Antonio Curatola, G. Scianna","doi":"10.1142/s0219024923500255","DOIUrl":"https://doi.org/10.1142/s0219024923500255","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"664 ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139203171","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
PDEs for reflected BSDENMs applied to American options 反映bsdenm的偏微分方程应用于美式期权
International Journal of Theoretical and Applied Finance Pub Date : 2023-11-10 DOI: 10.1142/s0219024923300019
Mohamed El Jamali, Hatim Tayeq
{"title":"PDEs for reflected BSDENMs applied to American options","authors":"Mohamed El Jamali, Hatim Tayeq","doi":"10.1142/s0219024923300019","DOIUrl":"https://doi.org/10.1142/s0219024923300019","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135191731","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
Withdrawal Success Estimation 提现成功估计
International Journal of Theoretical and Applied Finance Pub Date : 2023-11-01 DOI: 10.1142/s0219024923500140
Hayden Brown
{"title":"Withdrawal Success Estimation","authors":"Hayden Brown","doi":"10.1142/s0219024923500140","DOIUrl":"https://doi.org/10.1142/s0219024923500140","url":null,"abstract":"Given an asset having a geometric Lévy alpha-stable wealth process, a log-Lévy alpha-stable lower bound is constructed for the terminal wealth of a regular investing schedule. Using a transformation, the lower bound is applied to a schedule of withdrawals occurring after an initial investment. As a result, an upper bound is described on the probability to complete a given schedule of withdrawals. For withdrawals of a constant amount at equidistant times, necessary conditions are given on the initial investment and parameters of the wealth process such that [Formula: see text] withdrawals can be made with 95% confidence. When withdrawing from an annually rebalanced portfolio maintaining 100[Formula: see text]% in the S&amp;P Composite Index and 100([Formula: see text])% in inflation protected bonds, the initial investment must be at least [Formula: see text] times the amount of each withdrawal for [Formula: see text] and [Formula: see text].","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"6 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135011740","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 American option using a modified fractional Black-Scholes Model under multi-state regime switching 基于改进分数阶Black-Scholes模型的多状态制度交换下美式期权定价
International Journal of Theoretical and Applied Finance Pub Date : 2023-11-01 DOI: 10.1142/s021902492350019x
M. Yousuf, A. Q. M. Khaliq
{"title":"Pricing American option using a modified fractional Black-Scholes Model under multi-state regime switching","authors":"M. Yousuf, A. Q. M. Khaliq","doi":"10.1142/s021902492350019x","DOIUrl":"https://doi.org/10.1142/s021902492350019x","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"77 8","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135221277","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
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