Mathematical Finance最新文献

Designing stablecoins 设计稳定币

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-08-29 DOI: 10.1111/mafi.12445

Yizhou Cao, Min Dai, Steven Kou, Lewei Li, Chen Yang

引用次数: 0

Systemic risk in markets with multiple central counterparties 多个中央交易对手市场的系统风险

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-08-23 DOI: 10.1111/mafi.12446

Luitgard Anna Maria Veraart, Iñaki Aldasoro

引用次数: 0

Joint calibration to SPX and VIX options with signature‐based models 利用基于签名的模型对 SPX 和 VIX 期权进行联合校准

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-07-31 DOI: 10.1111/mafi.12442

Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto‐Ferro

{"title":"Joint calibration to SPX and VIX options with signature‐based models","authors":"Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto‐Ferro","doi":"10.1111/mafi.12442","DOIUrl":"https://doi.org/10.1111/mafi.12442","url":null,"abstract":"We consider a stochastic volatility model where the dynamics of the volatility are described by a linear function of the (time extended) signature of a primary process which is supposed to be a polynomial diffusion. We obtain closed form expressions for the VIX squared, exploiting the fact that the truncated signature of a polynomial diffusion is again a polynomial diffusion. Adding to such a primary process the Brownian motion driving the stock price, allows then to express both the log‐price and the VIX squared as linear functions of the signature of the corresponding augmented process. This feature can then be efficiently used for pricing and calibration purposes. Indeed, as the signature samples can be easily precomputed, the calibration task can be split into an offline sampling and a standard optimization. We also propose a Fourier pricing approach for both VIX and SPX options exploiting that the signature of the augmented primary process is an infinite dimensional affine process. For both the SPX and VIX options we obtain highly accurate calibration results, showing that this model class allows to solve the joint calibration problem without adding jumps or rough volatility.","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141866751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Dynamic equilibrium with insider information and general uninformed agent utility 具有内幕信息和一般无信息代理效用的动态均衡

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-07-19 DOI: 10.1111/mafi.12444

Jerome Detemple, Scott Robertson

{"title":"Dynamic equilibrium with insider information and general uninformed agent utility","authors":"Jerome Detemple, Scott Robertson","doi":"10.1111/mafi.12444","DOIUrl":"https://doi.org/10.1111/mafi.12444","url":null,"abstract":"We study a continuous time economy where agents have asymmetric information. The informed agent (“”), at time zero, receives a private signal about the risky assets' terminal payoff , while the uninformed agent (“”) has no private signal. is an arbitrary payoff function, and follows a time‐homogeneous diffusion. Crucially, we allow to have von Neumann–Morgenstern preferences with a general utility function on satisfying the standard conditions. This extends previous constructions of equilibria with asymmetric information used when all agents have exponential utilities and enables us to study the impact of U's initial share endowment on equilibrium. To allow for to have general preferences, we introduce a new method to prove existence of a partial communication equilibrium (PCE), where at time 0, receives a less‐informative signal than . In the single asset case, this signal is recoverable by viewing the equilibrium price process over an arbitrarily short period of time, and hence the PCE is a dynamic noisy rational expectations equilibrium. Lastly, when has power (constant relative risk aversion) utility, we identify the equilibrium price in the small and large risk aversion limits.","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2024-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141744388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Detecting asset price bubbles using deep learning 利用深度学习检测资产价格泡沫

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-07-19 DOI: 10.1111/mafi.12443

Francesca Biagini, Lukas Gonon, Andrea Mazzon, Thilo Meyer‐Brandis

引用次数: 0

Corporate debt value under transition scenario uncertainty 过渡情景不确定情况下的公司债务价值

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-07-02 DOI: 10.1111/mafi.12441

Theo Le Guenedal, Peter Tankov

{"title":"Corporate debt value under transition scenario uncertainty","authors":"Theo Le Guenedal, Peter Tankov","doi":"10.1111/mafi.12441","DOIUrl":"https://doi.org/10.1111/mafi.12441","url":null,"abstract":"We develop a structural model for pricing a defaultable bond issued by a company subject to climate transition risk. We assume that the magnitude of the transition risk impacts depends on a transition scenario, which is initially unknown but is progressively revealed through the observation of the carbon tax trajectory. The bond price, credit spread, and optimal default/restructuring thresholds are then expressed as function of the firm's revenue level and the carbon tax. Numerical implementation of the resulting formulas is discussed and illustrated using real data. Our results show that under transition scenario uncertainty, carbon tax adjustments are more likely to trigger a default than when the true scenario is known because after each adjustment, the more environmentally stringent scenario becomes more likely. We also find that faster discovery of scenario information leads to higher credit spreads since better information allows the shareholders to optimize the timing of default, increasing the value of default option and decreasing the bond price. As an extension, we consider the situation where the company may invest into abatement technology, increasing the value of both the share price and the bond price.","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141523259","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Distortion risk measures: Prudence, coherence, and the expected shortfall 扭曲风险措施：审慎性、一致性和预期差额

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-05-27 DOI: 10.1111/mafi.12435

Massimiliano Amarante, Felix-Benedikt Liebrich

引用次数: 0

Stability of the Epstein–Zin problem 爱泼斯坦-津问题的稳定性

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-05-24 DOI: 10.1111/mafi.12434

Michael Monoyios, Oleksii Mostovyi

引用次数: 0

Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules 认沽-认购平价、缺乏套利机会和非线性定价规则

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-03-23 DOI: 10.1111/mafi.12433

Lorenzo Bastianello, Alain Chateauneuf, Bernard Cornet

引用次数: 0

The rough Hawkes Heston stochastic volatility model 粗略霍克斯-赫斯顿随机波动模型

IF 1.6 3区经济学

Mathematical Finance Pub Date : 2024-03-02 DOI: 10.1111/mafi.12432

Alessandro Bondi, Sergio Pulido, Simone Scotti

{"title":"The rough Hawkes Heston stochastic volatility model","authors":"Alessandro Bondi, Sergio Pulido, Simone Scotti","doi":"10.1111/mafi.12432","DOIUrl":"10.1111/mafi.12432","url":null,"abstract":"<p>We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stochastic volatility model, the spot variance is a rough Hawkes-type process proportional to the intensity process of the jump component appearing in the dynamics of the spot variance itself and the log returns. The model belongs to the class of affine Volterra models. In particular, the Fourier-Laplace transform of the log returns and the square of the volatility index can be computed explicitly in terms of solutions of deterministic Riccati-Volterra equations, which can be efficiently approximated using a multi-factor approximation technique. We calibrate a parsimonious specification of our model characterized by a power kernel and an exponential law for the jumps. We show that our parsimonious setup is able to simultaneously capture, with a high precision, the behavior of the implied volatility smile for both S&P 500 and VIX options. In particular, we observe that in our setting the usual shift in the implied volatility of VIX options is explained by a very low value of the power in the kernel. Our findings demonstrate the relevance, under an affine framework, of rough volatility and self-exciting jumps in order to capture the joint evolution of the S&P 500 and VIX.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2024-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140037372","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0