arXiv - QuantFin - Pricing of Securities最新文献_第5页

Analytic Pricing of SOFR Futures Contracts with Smile and Skew 含微笑和偏斜的 SOFR 期货合约的分析定价

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-28 DOI: arxiv-2401.15728

Colin Turfus, Aurelio Romero-Bermúdez

引用次数: 0

Fast and General Simulation of Lévy-driven OU processes for Energy Derivatives 能量衍生物的莱维驱动 OU 过程的快速通用模拟

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-27 DOI: arxiv-2401.15483

Roberto Baviera, Pietro Manzoni

{"title":"Fast and General Simulation of Lévy-driven OU processes for Energy Derivatives","authors":"Roberto Baviera, Pietro Manzoni","doi":"arxiv-2401.15483","DOIUrl":"https://doi.org/arxiv-2401.15483","url":null,"abstract":"L'evy-driven Ornstein-Uhlenbeck (OU) processes represent an intriguing class\u0000of stochastic processes that have garnered interest in the energy sector for\u0000their ability to capture typical features of market dynamics. However, in the\u0000current state-of-the-art, Monte Carlo simulations of these processes are not\u0000straightforward for two main reasons: i) algorithms are available only for some\u0000particular processes within this class; ii) they are often computationally\u0000expensive. In this paper, we introduce a new simulation technique designed to\u0000address both challenges. It relies on the numerical inversion of the\u0000characteristic function, offering a general methodology applicable to all\u0000L'evy-driven OU processes. Moreover, leveraging FFT, the proposed methodology\u0000ensures fast and accurate simulations, providing a solid basis for the\u0000widespread adoption of these processes in the energy sector. Lastly, the\u0000algorithm allows an optimal control of the numerical error. We apply the\u0000technique to the pricing of energy derivatives, comparing the results with\u0000existing benchmarks. Our findings indicate that the proposed methodology is at\u0000least one order of magnitude faster than existing algorithms, all while\u0000maintaining an equivalent level of accuracy.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139587900","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

Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices 供暖度日和制冷度日温度导数价格的地方敏感性分析

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-24 DOI: arxiv-2403.00006

Sara Ana Solanilla Blanco

引用次数: 0

Data-driven Option Pricing 数据驱动的期权定价

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-20 DOI: arxiv-2401.11158

Min Dai, Hanqing Jin, Xi Yang

引用次数: 0

A Two-Step Longstaff Schwartz Monte Carlo Approach to Game Option Pricing 游戏期权定价的两步 Longstaff Schwartz Monte Carlo 方法

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-16 DOI: arxiv-2401.08093

Ce Wang

引用次数: 0

Transformer-based approach for Ethereum Price Prediction Using Crosscurrency correlation and Sentiment Analysis 基于变换器的以太坊价格预测方法（使用跨货币相关性和情感分析

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-16 DOI: arxiv-2401.08077

Shubham Singh, Mayur Bhat

引用次数: 0

Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon 随机地平线下市场模型的超级套期保值定价公式和即期利润套利

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-11 DOI: arxiv-2401.05713

Tahir Choulli, Emmanuel Lepinette

{"title":"Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon","authors":"Tahir Choulli, Emmanuel Lepinette","doi":"arxiv-2401.05713","DOIUrl":"https://doi.org/arxiv-2401.05713","url":null,"abstract":"In this paper, we consider the discrete-time setting, and the market model\u0000described by (S,F,T)$. Herein F is the ``public\" flow of information which is\u0000available to all agents overtime, S is the discounted price process of\u0000d-tradable assets, and T is an arbitrary random time whose occurrence might not\u0000be observable via F. Thus, we consider the larger flow G which incorporates F\u0000and makes T an observable random time. This framework covers the credit risk\u0000theory setting, the life insurance setting and the setting of employee stock\u0000option valuation. For the stopped model (S^T,G) and for various vulnerable\u0000claims, based on this model, we address the super-hedging pricing valuation\u0000problem and its intrinsic Immediate-Profit arbitrage (IP hereafter for short).\u0000Our first main contribution lies in singling out the impact of change of prior\u0000and/or information on conditional essential supremum, which is a vital tool in\u0000super-hedging pricing. The second main contribution consists of describing as\u0000explicit as possible how the set of super-hedging prices expands under the\u0000stochasticity of T and its risks, and we address the IP arbitrage for (S^T,G)\u0000as well. The third main contribution resides in elaborating as explicit as\u0000possible pricing formulas for vulnerable claims, and singling out the various\u0000informational risks in the prices' dynamics.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139459693","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

Decomposing Smiles: A Time Change Approach 分解微笑：时间变化法

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-08 DOI: arxiv-2401.03776

Liexin Cheng, Xue Cheng

引用次数: 0

Volatility models in practice: Rough, Path-dependent or Markovian? 实践中的波动模型：粗糙模型、路径依赖模型还是马尔可夫模型？

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-01-07 DOI: arxiv-2401.03345

Eduardo Abi JaberXiaoyuan, ShaunXiaoyuan, Li

{"title":"Volatility models in practice: Rough, Path-dependent or Markovian?","authors":"Eduardo Abi JaberXiaoyuan, ShaunXiaoyuan, Li","doi":"arxiv-2401.03345","DOIUrl":"https://doi.org/arxiv-2401.03345","url":null,"abstract":"An extensive empirical study of the class of Volterra Bergomi models using\u0000SPX options data between 2011 and 2022 reveals the following fact-check on two\u0000fundamental claims echoed in the rough volatility literature: Do rough volatility models with Hurst index $H in (0,1/2)$ really capture\u0000well SPX implied volatility surface with very few parameters? No, rough\u0000volatility models are inconsistent with the global shape of SPX smiles. They\u0000suffer from severe structural limitations imposed by the roughness component,\u0000with the Hurst parameter $H in (0,1/2)$ controlling the smile in a poor way.\u0000In particular, the SPX at-the-money skew is incompatible with the power-law\u0000shape generated by rough volatility models. The skew of rough volatility models\u0000increases too fast on the short end, and decays too slow on the longer end\u0000where \"negative\" $H$ is sometimes needed. Do rough volatility models really outperform consistently their classical\u0000Markovian counterparts? No, for short maturities they underperform their\u0000one-factor Markovian counterpart with the same number of parameters. For longer\u0000maturities, they do not systematically outperform the one-factor model and\u0000significantly underperform when compared to an under-parametrized two-factor\u0000Markovian model with only one additional calibratable parameter. On the positive side: our study identifies a (non-rough) path-dependent\u0000Bergomi model and an under-parametrized two-factor Markovian Bergomi model that\u0000consistently outperform their rough counterpart in capturing SPX smiles between\u0000one week and three years with only 3 to 4 calibratable parameters.\u0000end{abstract}","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139408815","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 framework for the valuation of insurance liabilities by production cost 按生产成本估算保险负债的框架

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-12-30 DOI: arxiv-2401.00263

Christoph Moehr

{"title":"A framework for the valuation of insurance liabilities by production cost","authors":"Christoph Moehr","doi":"arxiv-2401.00263","DOIUrl":"https://doi.org/arxiv-2401.00263","url":null,"abstract":"This paper sets out a framework for the valuation of insurance liabilities\u0000that is intended to be economically realistic, elementary, reasonably\u0000practically applicable, and as a special case to provide a basis for the\u0000valuation in regulatory solvency systems such as Solvency II and the SST. The\u0000valuation framework is based on the cost of producing the liabilities to an\u0000insurance company that is subject to solvency regulation (regulatory solvency\u0000capital requirements) and insolvency laws (consequences of failure) in finite\u0000discrete time. Starting from the replication approach of classical no-arbitrage\u0000theory, the framework additionally considers the nature and cost of capital\u0000(expressed by a ``financiability condition\"), that the liabilities may be\u0000required to be fulfilled only ``in sufficiently many cases\" (expressed by a\u0000``fulfillment condition\"), production using ``fully illiquid\" assets in\u0000addition to tradables, and the asymmetry between assets and liabilities. We\u0000identify necessary and sufficient conditions on the capital investment under\u0000which the framework recovers the market prices of tradables, investigate\u0000extending production to take account of insolvency, implications of using\u0000illiquid assets in the production, and show how Solvency II and SST valuation\u0000can be derived with specific assumptions.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139077878","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