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A VARIANCE REDUCTION TECHNIQUE USING A QUANTIZED BROWNIAN MOTION AS A CONTROL VARIATE 一种使用量子化布朗运动作为控制变量的方差减少技术
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-12-03 DOI: 10.21314/JCF.2012.242
A. Lejay, Victor Reutenauer
{"title":"A VARIANCE REDUCTION TECHNIQUE USING A QUANTIZED BROWNIAN MOTION AS A CONTROL VARIATE","authors":"A. Lejay, Victor Reutenauer","doi":"10.21314/JCF.2012.242","DOIUrl":"https://doi.org/10.21314/JCF.2012.242","url":null,"abstract":"This article presents a new variance reduction technique for diffusion processes where a control variate is constructed using a quantization of the coefficients of the Karhunen-Loeve decomposition of the underlying Brownian motion. This method may be indeed used for other Gaussian processes.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"16 1","pages":"61-84"},"PeriodicalIF":0.9,"publicationDate":"2012-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67701219","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: 16
Proper Orthogonal Decomposition for Pricing Options 定价期权的适当正交分解
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-09-01 DOI: 10.21314/JCF.2012.246
O. Pironneau
{"title":"Proper Orthogonal Decomposition for Pricing Options","authors":"O. Pironneau","doi":"10.21314/JCF.2012.246","DOIUrl":"https://doi.org/10.21314/JCF.2012.246","url":null,"abstract":"In a paper that appeared in volume 2 (2011) of SIAM Financial Mathematics by R. Cont, N. Lantos and the author, it was shown that by writing the solution of the Black-Scholes partial dierential equation on a small set of basis functions the computing time can be dramatically reduced. In this study we show that it is in fact a P.O.D. method and in some other variable it is also a spectral method. It allows us to nd a good preconditioning matrix to minimize the ill conditioned linear system, and even have explicit solutions.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"16 1","pages":"33-46"},"PeriodicalIF":0.9,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67701603","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: 7
Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution 基于不提前退休的平均工资的养老金计划定价:偏微分方程建模与数值解
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-09-01 DOI: 10.21314/JCF.2012.243
M. Calvo-Garrido
{"title":"Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution","authors":"M. Calvo-Garrido","doi":"10.21314/JCF.2012.243","DOIUrl":"https://doi.org/10.21314/JCF.2012.243","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"16 1","pages":"111-140"},"PeriodicalIF":0.9,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67701258","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
Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation Heston-Hull-White偏微分方程的交替方向隐式有限差分格式
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-09-01 DOI: 10.21314/JCF.2012.244
T. Haentjens, K. I. Hout
{"title":"Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation","authors":"T. Haentjens, K. I. Hout","doi":"10.21314/JCF.2012.244","DOIUrl":"https://doi.org/10.21314/JCF.2012.244","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"16 1","pages":"83-110"},"PeriodicalIF":0.9,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67701275","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: 83
Transform analysis and asset pricing for diffusion processes: a recursive approach 转换分析和资产定价的扩散过程:递归方法
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-09-01 DOI: 10.21314/JCF.2012.245
M. Goovaerts, R. Laeven, Zhaoning Shang
{"title":"Transform analysis and asset pricing for diffusion processes: a recursive approach","authors":"M. Goovaerts, R. Laeven, Zhaoning Shang","doi":"10.21314/JCF.2012.245","DOIUrl":"https://doi.org/10.21314/JCF.2012.245","url":null,"abstract":"Diffusion processes play a major role in continuous-time modeling in economics, particularly in continuous-time finance. In most cases, however, the transition density function of a diffusion process is not available in closed form. Using Feynman-Kac integration, we construct a recursive scheme for the Laplace transform (in time) of the transition density function. This provides a semianalytic and highly accurate solution to a wide range of asset pricing problems. Generalizations of our technique to functionals of non-Gaussian processes are also briefly discussed.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"16 1","pages":"47-81"},"PeriodicalIF":0.9,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67701567","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
Applications of periodic and quasiperiodic decompositions to options pricing 周期和准周期分解在期权定价中的应用
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-09-01 DOI: 10.21314/JCF.2012.247
Dominique R. A. Bang
{"title":"Applications of periodic and quasiperiodic decompositions to options pricing","authors":"Dominique R. A. Bang","doi":"10.21314/JCF.2012.247","DOIUrl":"https://doi.org/10.21314/JCF.2012.247","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"16 1","pages":"3-31"},"PeriodicalIF":0.9,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67701675","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: 1
Numerical valuation of basket credit derivatives in structural jump-diffusion models 结构跳跃-扩散模型中一篮子信用衍生品的数值估值
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-05-28 DOI: 10.21314/JCF.2012.249
K. Bujok, C. Reisinger
{"title":"Numerical valuation of basket credit derivatives in structural jump-diffusion models","authors":"K. Bujok, C. Reisinger","doi":"10.21314/JCF.2012.249","DOIUrl":"https://doi.org/10.21314/JCF.2012.249","url":null,"abstract":"We consider a model where each company’s asset value follows a jump-diusion process, and is connected with other companies via global factors. Motivated by ideas in Bush et al. (2011), where the joint density of asset values is evolved in a large basket approximation, we develop an algorithm for the ecient estimation of CDO index and tranche spreads consistent with underlying CDSs, through a nite dierence simulation of the resulting SPDE. We verify the validity of this approximation numerically by comparison to results obtained by direct Monte Carlo simulation of the basket constituents. A calibration exercise assesses the exibility of the model and its extensions to match CDO spreads from pre-crisis and crisis periods.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"15 1","pages":"115-158"},"PeriodicalIF":0.9,"publicationDate":"2012-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67701368","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: 22
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets 具有独立增量的离散时间过程方差最优对冲。电力市场应用
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-05-17 DOI: 10.21314/JCF.2013.261
Stéphane Goutte, N. Oudjane, F. Russo
{"title":"Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets","authors":"Stéphane Goutte, N. Oudjane, F. Russo","doi":"10.21314/JCF.2013.261","DOIUrl":"https://doi.org/10.21314/JCF.2013.261","url":null,"abstract":"We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algorithm, which is based on the celebrated Foellmer-Schweizer decomposition for solving the mean-variance hedging problem. In particular, we establish that decomposition explicitely, for a large class of vanilla contingent claims. Interest is devoted in the choice of rebalancing dates and its impact on the hedging error, regarding the payoff regularity and the non stationarity of the log-price process.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"17 1","pages":"71-111"},"PeriodicalIF":0.9,"publicationDate":"2012-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67702279","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: 13
Pricing credit derivatives using an asymptotic expansion approach 用渐近展开方法对信用衍生品定价
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-03-01 DOI: 10.21314/JCF.2012.251
Yoshifumi Muroi
{"title":"Pricing credit derivatives using an asymptotic expansion approach","authors":"Yoshifumi Muroi","doi":"10.21314/JCF.2012.251","DOIUrl":"https://doi.org/10.21314/JCF.2012.251","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"15 1","pages":"135-171"},"PeriodicalIF":0.9,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67701338","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: 7
Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes 套期保值欧洲期权的快速定价与敏感性计算
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2012-03-01 DOI: 10.21314/JCF.2012.252
S. Levendorskii, Jiayao Xie
{"title":"Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes","authors":"S. Levendorskii, Jiayao Xie","doi":"10.21314/JCF.2012.252","DOIUrl":"https://doi.org/10.21314/JCF.2012.252","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"15 1","pages":"71-133"},"PeriodicalIF":0.9,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67702041","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: 11
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