Journal of Computational Finance最新文献_第5页

Dilated Convolutional Neural Networks for Time Series Forecasting 扩展卷积神经网络用于时间序列预测

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2018-10-24 DOI: 10.21314/JCF.2019.358

A. Borovykh, S. Bohté, C. Oosterlee

{"title":"Dilated Convolutional Neural Networks for Time Series Forecasting","authors":"A. Borovykh, S. Bohté, C. Oosterlee","doi":"10.21314/JCF.2019.358","DOIUrl":"https://doi.org/10.21314/JCF.2019.358","url":null,"abstract":"We present a method for conditional time series forecasting based on an adaptation of the recent deep convolutional WaveNet architecture. The proposed network contains stacks of dilated convolutions that allow it to access a broad range of historical data when forecasting. It also uses a rectified linear unit (ReLU) activation function, and conditioning is performed by applying multiple convolutional filters in parallel to separate time series, which allows for the fast processing of data and the exploitation of the correlation structure between the multivariate time series. We test and analyze the performance of the convolutional network both unconditionally and conditionally for financial time series forecasting using the Standard & Poor’s 500 index, the volatility index, the Chicago Board Options Exchange interest rate and several exchange rates, and we extensively compare its performance with those of the well-known autoregressive model and a long short-term memory network. We show that a convolutional network is well suited to regression-type problems and is able to effectively learn dependencies in and between the series without the need for long historical time series, that it is a time-efficient and easy-to-implement alternative to recurrent-type networks, and that it tends to outperform linear and recurrent models.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2018-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49022722","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 79

Polynomial Upper and Lower Bounds for Financial Derivative Price Functions under Regime-Switching 制度交换下金融衍生品价格函数的多项式上下界

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2018-09-11 DOI: 10.21314/JCF.2018.352

Louis Bhim, Ray Kawai

引用次数: 3

Importance Sampling for Jump–Diffusions Via Cross-Entropy 基于交叉熵的跳跃扩散的重要性采样

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2018-06-22 DOI: 10.21314/JCF.2018.349

R. Rieke, Weiming Sun, Hui Wang

引用次数: 0

American and exotic option pricing with jump diffusions and other Levy processes 具有跳跃扩散和其他列维过程的美国和国外期权定价

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2018-01-01 DOI: 10.21314/jcf.2018.355

Justin Lars Kirkby

{"title":"American and exotic option pricing with jump diffusions and other Levy processes","authors":"Justin Lars Kirkby","doi":"10.21314/jcf.2018.355","DOIUrl":"https://doi.org/10.21314/jcf.2018.355","url":null,"abstract":"In general, no analytical formulas exist for pricing discretely monitored exotic options, even when a geometric Brownian motion governs the risk-neutral underlying. While specialized numerical algorithms exist for pricing particular contracts, few can be applied universally with consistent success and with general Lévy dynamics. This paper develops a general methodology for pricing early exercise and exotic financial options by extending the recently developed PROJ method. We are able to efficiently obtain accurate values for complex products including Bermudan/American options, Bermudan barrier options, survival probabilities and credit default swaps by value recursion, European barrier and lookback/hindsight options by density recursion, and arithmetic Asian options by characteristic function recursion. This paper presents a unified approach to tackling these and related problems. Algorithms are provided for each option type, along with a demonstration of convergence. We also provide a large set of reference prices for exotic, American and European options under Black-Scholes-Merton, Normal Inverse Gaussian, Kou’s double exponential jump diffusion, Variance Gamma, KoBoL/CGMY and Merton’s jump diffusion models.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"24 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138537325","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 24

Monte Carlo payoff smoothing for pricing autocallable instruments 蒙特卡罗支付平滑定价自动调用的工具

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2018-01-01 DOI: 10.21314/jcf.2018.340

Frank Koster,Achim Rehmet

引用次数: 0

Pricing Multidimensional Financial Derivatives with Stochastic Volatilities Using the Dimensional-Adaptive Combination Technique 基于维数自适应组合技术的随机波动多维金融衍生品定价

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2017-11-29 DOI: 10.21314/JCF.2017.335

J. Benk, D. Pflüger

{"title":"Pricing Multidimensional Financial Derivatives with Stochastic Volatilities Using the Dimensional-Adaptive Combination Technique","authors":"J. Benk, D. Pflüger","doi":"10.21314/JCF.2017.335","DOIUrl":"https://doi.org/10.21314/JCF.2017.335","url":null,"abstract":"In this paper, we present a new and general approach to price derivatives based on the Black–Scholes partial differential equation (BS-PDE) in a multidimensional setting. The first ingredient in our approach is the dimensional-adaptive sparse grid combination technique, which, in the case of underlying models with stochastic volatilities, allows for inhomogeneous discretization levels of the dimensional axes. Thus, by applying the dimensional-adaptive combination technique to such problems, one may achieve higher numerical efficiency. We combine this approach with a stretched grid discretization that is derived from the underlying’s stochastic differential equation (SDE) in a general manner. This stretching enables us to employ efficient geometrical multigrid solvers, even for the strong anisotropic convection and diffusion coefficients that frequently occur in application. Our combination of the dimensional-adaptive sparse grid combination technique with SDE-based grid stretching and an efficient multigrid solver represents a new approach designed to enable derivative pricing by directly solving PDEs in higher dimensions than were possible before. The numerical results outlined in the paper demonstrate the efficacy of this new approach and of our implementation method, which entails pricing various derivatives with up to twelve dimensions in a general and simple manner.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2017-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45786596","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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

Pricing American Call Options Using the Black–Scholes Equation with a Nonlinear Volatility Function 基于非线性波动函数的Black-Scholes方程的美式看涨期权定价

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2017-07-02 DOI: 10.21314/jcf.2020.379

Maria do Rosario Grossinho, D. Ševčovič, Yaser Faghan Kord

引用次数: 6

Local Variance Gamma Revisited 重新审视局部方差

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2017-03-17 DOI: 10.2139/ssrn.2659728

Markus Falck, M. Deryabin

{"title":"Local Variance Gamma Revisited","authors":"Markus Falck, M. Deryabin","doi":"10.2139/ssrn.2659728","DOIUrl":"https://doi.org/10.2139/ssrn.2659728","url":null,"abstract":"In this paper we develop a new method for implied volatility surface construction for FX options. The methodology is based on the local variance gamma model developed by Carr (2008). Our approach is to solve a simplified \"one-step\" version of the Dupire equation analytically under the assumption of a continuous five parameter diffusion function. The unique solution to this equation can be interpreted as a continuous representation of option prices, defined for strikes in an arbitrarily large range. The derived price functions are C^2 -positive, arbitrage-free by construction, and they do not depend on the strike discretization. By using a least-square approach, we calibrate price functions to Reuters quoted FX volatility smiles. Our results suggest that the model allows for very rapid calibration; using a Levenberg-Marquardt algorithm we measure the average calibration time to less than 1 ms for one expiry on a standard personal computer.We also extend our model to allow for interpolation between maturities and present sufficient conditions for absence of calendar spread arbitrage. In order to generate the whole implied volatility surface, we suggest a simple, fast and yet market-consistent technique allowing for arbitrage-free interpolation of calibrated price functions in the maturity dimension.The methodology is tested against EURUSD and EURSEK options, where we show that the model has the capability to produce volatility surfaces which fit market quotes with an error of few volatility basis points. We then apply the methodology to pricing variance swaps.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"1 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2017-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42433294","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 2

Calibration of Local Correlation Models to Basket Smiles 篮筐微笑局部相关模型的标定

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2016-11-17 DOI: 10.21314/JCF.2016.326

Julien Guyon

{"title":"Calibration of Local Correlation Models to Basket Smiles","authors":"Julien Guyon","doi":"10.21314/JCF.2016.326","DOIUrl":"https://doi.org/10.21314/JCF.2016.326","url":null,"abstract":"Allowing correlation to be local, i.e., state-dependent, in multi-asset models allows better hedging by incorporating correlation moves in the Delta. When options on a basket - be it a stock index, a cross-foreign exchange rate or an interest rate spread - are liquidly traded, one may want to calibrate a local correlation to these option prices. Only two particular solutions have been suggested so far in the literature. Both impose a particular dependency of the correlation matrix on the asset values that one has no reason to undergo. They may also fail to be admissible, i.e., positive semi-definite. We explain how, by combining the particle method presented in \"The smile calibration problem solved\" by Guyon and Henry-Labordere (2011) with a simple affine transform, we can build all the calibrated local correlation models. The two existing models appear as special cases (if admissible). For the first time, one can now choose a calibrated local correlation in order to fit a view on the correlation skew, or reproduce historical correlation, or match some exotic option prices, thus improving the pricing, hedging and risk-management of multi-asset derivatives. This technique is generalized to calibrate models that combine stochastic interest rates, stochastic dividend yield, local stochastic volatility and local correlation. Numerical results show the wide variety of calibrated local correlations and give insight into a difficult (still unsolved) problem: finding lower bounds/upper bounds on general multi-asset option prices given the whole surfaces of implied volatilities of a basket and its constituents.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"1 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2016-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67702475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 4

Hybrid Finite–Difference/Pseudospectral Methods for the Heston and Heston–Hull–White Partial Differential Equations Heston和Heston - hull - white偏微分方程的混合有限差分/伪谱方法

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2016-09-23 DOI: 10.21314/JCF.2018.342

Christian Hendricks, M. Ehrhardt, M. Günther

引用次数: 2