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International Journal of Theoretical and Applied Finance最新文献

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Valuation of general contingent claims with short selling bans: an equal-risk pricing approach 卖空禁令下一般或有债权的估值:等风险定价方法
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-07-22 DOI: 10.1142/s0219024922500224
Guiyuan Ma, Song‐Ping Zhu, Ivan Guo
{"title":"Valuation of general contingent claims with short selling bans: an equal-risk pricing approach","authors":"Guiyuan Ma, Song‐Ping Zhu, Ivan Guo","doi":"10.1142/s0219024922500224","DOIUrl":"https://doi.org/10.1142/s0219024922500224","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47652829","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
Sensitivities and Hedging of the Collateral Choice Option 抵押品选择期权的敏感性和套期保值
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-07-21 DOI: 10.1142/s0219024922500273
G. Deelstra, L. Grzelak, Felix L. Wolf
{"title":"Sensitivities and Hedging of the Collateral Choice Option","authors":"G. Deelstra, L. Grzelak, Felix L. Wolf","doi":"10.1142/s0219024922500273","DOIUrl":"https://doi.org/10.1142/s0219024922500273","url":null,"abstract":"The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis spreads, this optionality significantly impacts asset valuation. Because of the complexity of valuing the option, many practitioners resort to deterministic assumptions on the collateral rates. In this article, we focus on a valuation model of the collateral choice option based on stochastic dynamics. Intrinsic differences in the resulting collateral choice option valuation and its implications for collateral management are presented. We obtain sensitivities of the collateral choice option price under both the deterministic and the stochastic model, and we show that the stochastic model attributes risks to all involved collateral currencies. Besides an inability to capture volatility effects, the deterministic model exhibits a digital structure in which only the cheapest-to-deliver currency influences the valuation at a given time. We further consider hedging an asset with the collateral choice option by a portfolio of domestic and foreign zero-coupon bonds that do not carry the collateral choice option. We propose static hedging strategies based on the crossing times of the deterministic model and based on variance-minimization under the stochastic model. We show how the weights of this model can be explicitly determined with the semi-analytical common factor approach and we show in numerical experiments that this strategy offers good hedging performance under minimized variance.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46413557","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 INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS 交易成本比例下指数负效用的最优投资与或有债权估值
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-07-12 DOI: 10.1142/s0219024922500170
ALET ROUX, ZHIKANG XU
{"title":"OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS","authors":"ALET ROUX, ZHIKANG XU","doi":"10.1142/s0219024922500170","DOIUrl":"https://doi.org/10.1142/s0219024922500170","url":null,"abstract":"<p>We consider indifference pricing of contingent claims consisting of payment flows in a discrete-time model with proportional transaction costs and under exponential disutility. This setting covers utility maximization of terminal wealth as a special case. A dual representation is obtained for the associated disutility minimization problem, together with a dynamic procedure for solving it. This leads to efficient and convergent numerical procedures for indifference pricing, optimal trading strategies and shadow prices that apply to a wide range of payoffs, a large range of time steps and all magnitudes of transaction costs.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"182 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138532136","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
Multivariate dynamic cash sub-additive risk measures for processes 流程的多变量动态现金次加性风险度量
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-07-07 DOI: 10.1142/s0219024922500200
Fei Sun, Kui Luo, Yu Feng
{"title":"Multivariate dynamic cash sub-additive risk measures for processes","authors":"Fei Sun, Kui Luo, Yu Feng","doi":"10.1142/s0219024922500200","DOIUrl":"https://doi.org/10.1142/s0219024922500200","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44565895","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 AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO 抵押贷款组合中提前还款风险的定价与对冲
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-07-07 DOI: 10.1142/s0219024922500169
EMANUELE CASAMASSIMA, LECH A. GRZELAK, FRANK A. MULDER, CORNELIS W. OOSTERLEE
{"title":"PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO","authors":"EMANUELE CASAMASSIMA, LECH A. GRZELAK, FRANK A. MULDER, CORNELIS W. OOSTERLEE","doi":"10.1142/s0219024922500169","DOIUrl":"https://doi.org/10.1142/s0219024922500169","url":null,"abstract":"<p>Understanding mortgage prepayment is crucial for any financial institution providing mortgages, and it is important for hedging the risk resulting from such unexpected cash flows. Here, in the setting of a Dutch mortgage provider, we propose to include nonlinear financial instruments in the hedge portfolio when dealing with mortgages with the option to prepay part of the notional early. Based on the assumption that there is a correlation between prepayment and the interest rates in the market, a model is proposed which is based on a specific refinancing incentive. The linear and nonlinear risks are addressed by a set of tradeable instruments in a static hedge strategy. We will show that a stochastic model for the notional of a mortgage unveils nonlinear risk embedded in a prepayment option. Based on a calibration of the refinancing incentive on a data set of more than thirty million observations, a functional form of the prepayments is defined, which accurately reflects the borrowers’ behavior. We compare this functional form with a fully rational model, where the option to prepay is assumed to be exercised rationally.</p>","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"78 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138532176","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 Volatility Spillover 投资组合波动溢出
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-06-17 DOI: 10.1142/s0219024922500194
Gueorgui S. Konstantinov, F. Fabozzi
{"title":"Portfolio Volatility Spillover","authors":"Gueorgui S. Konstantinov, F. Fabozzi","doi":"10.1142/s0219024922500194","DOIUrl":"https://doi.org/10.1142/s0219024922500194","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49020806","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
Market Timing in Parametric Portfolio Policies 参数化投资组合政策中的市场时机
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-06-17 DOI: 10.1142/s0219024922500182
Carlos Osorio, Thorsten Poddig, C. Fieberg, M. Olschewsky, Michael Falge
{"title":"Market Timing in Parametric Portfolio Policies","authors":"Carlos Osorio, Thorsten Poddig, C. Fieberg, M. Olschewsky, Michael Falge","doi":"10.1142/s0219024922500182","DOIUrl":"https://doi.org/10.1142/s0219024922500182","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44477289","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
The fractional volatility model and rough volatility 分数波动模型和粗糙波动
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-06-05 DOI: 10.1142/s0219024923500103
Vilela Mendes
{"title":"The fractional volatility model and rough volatility","authors":"Vilela Mendes","doi":"10.1142/s0219024923500103","DOIUrl":"https://doi.org/10.1142/s0219024923500103","url":null,"abstract":"The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45165619","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
DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL 股利与复合泊松过程:一种新的随机股票价格模型
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-05-30 DOI: 10.1142/s0219024922500145
BATTULGA GANKHUU, JACOB KLEINOW, ALTANGEREL LKHAMSUREN, ANDREAS HORSCH
{"title":"DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL","authors":"BATTULGA GANKHUU, JACOB KLEINOW, ALTANGEREL LKHAMSUREN, ANDREAS HORSCH","doi":"10.1142/s0219024922500145","DOIUrl":"https://doi.org/10.1142/s0219024922500145","url":null,"abstract":"This study introduces a stochastic multi-period dividend discount model (DDM) that includes (i) a compound nonhomogenous Poisson process for dividend growth and (ii) the probability of firm default. We obtain maximum likelihood (ML) estimators and confidence interval formulas of our model parameters. We apply the model to a set of firms from the S&amp;P 500 index using historical dividend and price data over a 42-year period. Interestingly, stock price estimations calculated with the model are close to the observable prices. Overall, we prove that the model can be a useful tool for stock pricing.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"1155 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138532135","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
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES 泡沫的局部鞅理论在加密货币中的应用
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2022-04-08 DOI: 10.1142/s0219024922500133
SOON HYEOK CHOI, R. Jarrow
{"title":"APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES","authors":"SOON HYEOK CHOI, R. Jarrow","doi":"10.1142/s0219024922500133","DOIUrl":"https://doi.org/10.1142/s0219024922500133","url":null,"abstract":"Cryptocurrencies provide a natural setting to test for the existence of price bubbles using the local martingale theory of bubbles because cryptocurrencies have no cash flows. Using a robust statistical algorithm, we test for price bubbles in eight cryptocurrencies, Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP), Bitcoin Cash (BCH), EOS (EOS), Monero (XMR), and Zcash (ZEC), from 1 January 2019 to 17 July 2019. The statistical test first estimates the cryptocurrencies’ volatilities as a function of the price level. Then, these estimates are extrapolated over the positive real line using power functions. Finally, these power functions underly a sequence of hypothesis tests for price bubbles that control for both Type I and Type II errors. Five of the eight currencies (BTC, BCH, EOS, XMR, ZEC) exhibit price bubbles, LTC does not, and the evidence for ETH and XRP is inconclusive. The paper provides strong evidence for the prevalence of bubbles in cryptocurrencies.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41789807","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
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