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## A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

Fonte: MIT - Massachusetts Institute of Technology
Publicador: MIT - Massachusetts Institute of Technology

Formato: 397765 bytes; 1887637 bytes; application/octet-stream; application/pdf

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We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis functions, multilayer perceptrons, and projection pursuit. To illustrate practical relevance, we also apply our approach to S&P 500 futures options data from 1987 to 1991.

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## Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

Fonte: Université de Montréal
Publicador: Université de Montréal

Tipo: Artigo de Revista Científica
Formato: 430395 bytes; application/pdf

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#CAPM conditionnel#APT conditionnel#efficacité des marchés#risque et rendements variables dans le temps#conditional CAPM#conditional APT#efficiency of markets#time-varying risk and returns#[JEL:D80] Microeconomics - Information, Knowledge, and Uncertainty - General#[JEL:D80] Microéconomie - Information et incertain - Généralités

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.; Dans cet article, nous testons une version du CAPM conditionnel par rapport au portefeuille de marché local, approximé par un indice boursier brésilien, au cours de la période 1976-1992. Nous tenons également un modèle APT conditionnel en utilisant la différence entre les taux d’intérêt sur les dépôts de 30 jours (Cdb) et le taux au jour le jour comme deuxième facteur en plus du portefeuille de marché pour capter l’important risque inflationniste présent durant cette période. Les modèles conditionnels CAPM et APT sont estimés par la méthode généralisée des moments (GMM) et testés sur un ensemble de portefeuilles construits selon la taille à partir d’un total de 25 titres échangés sur les marchés boursiers brésiliens. L’incorporation de ce deuxième facteur se révèle cruciale pour une juste valorisation des portefeuilles.

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## Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

Fonte: Université de Montréal
Publicador: Université de Montréal

Tipo: Artigo de Revista Científica
Formato: 149496 bytes; application/pdf

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In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

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## Pricing assets with higher moments: Evidence from the Australian and US stock markets

Fonte: Elsevier BV, North-Holland
Publicador: Elsevier BV, North-Holland

Tipo: Artigo de Revista Científica

Publicado em //2010
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Phuong Doan, Chien-Ting Lin, Ralf Zurbruegg

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## On the Measurement of financial market integration

Fonte: Real Academia de Ciencias Exactas, Físicas y Naturales
Publicador: Real Academia de Ciencias Exactas, Físicas y Naturales

Tipo: Artigo de Revista Científica
Formato: application/pdf

Publicado em //1998
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The paper presents sorne vector optimization problems to measure arbitrage and integration of financial markets. This new approach may be applied under static or dynamic asset pricing assumptions and leads to both, numerical and stochastic integration measures. Thus, the paper provides a new methodology in a very general setting, allowing many instruments in each market to test optimal arbitrage portfolios depending on the state of nature and the date. Markets with frictions are also analyzed, and sorne empirical results are presented.; El artículo aplica la optimización vectorial para introducir nuevos procedimientos que miden el nivel de arbitraje e integración de mercados financieros. Las técnicas son aplicables tanto bajo supuestos estáticos, como bajo supuestos dinámicos de valoración de activos. Por consiguiente el nivel de generalidad es alto, y se proporcionan
instrumentos que permiten determinar estrategias de arbitraje óptimas de carácter dinámico y estocástico. Finalmente, también se analizan los mercados con fricciones y
se presentan los resultados de algunas contrastaciones empíricas.

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## The Liquidity Premium in Equity Pricing under a Continuous Auction System

Fonte: Taylor & Francis
Publicador: Taylor & Francis

Tipo: Artigo de Revista Científica
Formato: application/pdf

Publicado em /03/1998
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The paper shows that the cost of illiquidity is not (positively) priced over all months in the Spanish continuous auction system, where liquidity is provideh in the absence of market makers. Two distinct approaches are employed. Both the two-step traditional cross-sectional method and the pooled cross-section time series analysis tend to indicate that the liquidity premium is negative during months other than January. Morever, the liquidity premium in January is positive (although not significant) and at the 10% level it seems to be significantly higher than the liquidity premium over the rest of the year. Therefore, given the previous results for the US market, we conclude that, independently of the market trading mechanism with the exception of NASDAQ, the behaviour of the relationship between the bid-ask spread and stock returns is rather similar.

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## Essays on Bond Yields

Fonte: Universidade Nacional da Austrália
Publicador: Universidade Nacional da Austrália

Tipo: Thesis (PhD); Doctor of Philosophy (PhD)

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This doctoral dissertation comprises three essays which study the determinants of bond yields. The dissertation is organised around the idea that bond yields can be partitioned into a risky component which prices for the risk of illiquidity and default; and a risk-free component which prices for investors' time preferences, and expected monetary policy movements. The first essay considers the liquidity and credit premia in supranational, semi-government and agency bond yields; term premia in sovereign bond yields and their relation to the economy constitute the focus of the second essay; and the third essay is devoted to an inquiry into the nature of expectations of future monetary policy movements in bond yields. In each case, it is found that valuable information can indeed be extracted from the market pricing implied by bond yields.; Principal Supervisor: Professor Tom Smith
t.smith@business.uq.edu.au; Yes

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## Valoración del costo de los recursos propios de las empresas. caso particular: empresas de servicios a la persona en Francia

Fonte: Facultad de administración
Publicador: Facultad de administración

Tipo: info:eu-repo/semantics/bachelorThesis; info:eu-repo/semantics/acceptedVersion
Formato: application/pdf

Publicado em 10/07/2014
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#Activo - Pasivo#Contabilidad financiera#Organización#Administración de empresas#658.4#Costo de los recursos propios#Modelo de Valoración de Activos Financieros#Proceso de Análisis Jerárquico#Riesgos#Servicios a las Personas#Cost of equity

El WACC o Coste Medio Ponderado de Capital es la tasa a la que se deben descontar los flujos para evaluar un proyecto o empresa. Para calcular esta tasa es necesario determinar el costo de la deuda y el costo de los recursos propios de la compañía; el costo de la deuda es la tasa actual del mercado que la empresa está pagando por su deuda, sin embargo el costo de los recursos propios podría ser difícil y más complejo de estimar ya que no existe un costo explícito.
En este trabajo se presenta un panorama de las teorías propuestas a lo largo de la historia para calcular el costo de los recursos propios. Como caso particular, se estimará el costo de los recursos propios sin apalancamiento financiero de seis empresas francesas que no cotizan en bolsa y pertenecientes al sector de Servicios a la Persona (SAP). Para lograr lo anterior, se utilizará el Proceso de Análisis Jerárquico (AHP) y el Modelo de Valoración del Precio de los Activos Financieros (CAPM) con base en lo presentado por Martha Pachón (2013) en “Modelo alternativo para calcular el costo de los recursos propios”.; The Weighted Average Cost of Capital (WACC) is the rate at which flows should be discounted to evaluate a project or company. To calculate this rate...

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## Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

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#Quantitative Finance - Risk Management#Mathematics - Probability#Quantitative Finance - General Finance#91B30, 60G30, 91B06, 62P05

In this paper we present a theoretical framework for determining dynamic ask
and bid prices of derivatives using the theory of dynamic coherent
acceptability indices in discrete time. We prove a version of the First
Fundamental Theorem of Asset Pricing using the dynamic coherent risk measures.
We introduce the dynamic ask and bid prices of a derivative contract in markets
with transaction costs. Based on these results, we derive a representation
theorem for the dynamic bid and ask prices in terms of dynamically consistent
sequence of sets of probability measures and risk-neutral measures. To
illustrate our results, we compute the ask and bid prices of some
path-dependent options using the dynamic Gain-Loss Ratio.; Comment: extended-preprint version of the published paper

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## $L^2$-approximating pricing under restricted information

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 30/08/2007
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We consider the mean-variance hedging problem under partial information in
the case where the flow of observable events does not contain the full
information on the underlying asset price process. We introduce a martingale
equation of a new type and characterize the optimal strategy in terms of the
solution of this equation. We give relations between this equation and backward
stochastic differential equations for the value process of the problem.

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## Option Pricing Model Based on a Markov-modulated Diffusion with Jumps

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 03/12/2008
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The paper proposes a class of financial market models which are based on
inhomogeneous telegraph processes and jump diffusions with alternating
volatilities. It is assumed that the jumps occur when the tendencies and
volatilities are switching. We argue that such a model captures well the stock
price dynamics under periodic financial cycles. The distribution of this
process is described in detail. For this model we obtain the structure of the
set of martingale measures. This incomplete model can be completed by adding
another asset based on the same sources of randomness. Explicit closed-form
formulae for prices of the standard European options are obtained for the
completed market model.

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## Coherent CVA and FVA with Liability Side Pricing of Derivatives

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 24/10/2015
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This article presents FVA and CVA of a bilateral derivative in a coherent
manner, based on recent developments in fair value accounting and ISDA
standards. We argue that a derivative liability, after primary risk factors
being hedged, resembles in economics an issued variable funding note, and
should be priced at the market rate of the issuer's debt. For the purpose of
determining the fair value, the party on the liability side is economically
neutral to make a deposit to the other party, which earns his current debt rate
and effectively provides funding and hedging for the party holding the
derivative asset. The newly derived partial differential equation for an option
discounts the derivative's receivable part with counterparty's curve and
payable part with own financing curve. The price difference from the
counterparty risk free price, or total counterparty risk adjustment, is
precisely defined by discounting the product of the risk free price and the
credit spread at the local liability curve. Subsequently the adjustment can be
broken into a default risk component -- CVA and a funding component -- FVA,
consistent with a simple note's fair value treatment and in accordance with the
usual understanding of a bond's credit spread consisting of a CDS spread and a
basis. As for FVA...

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## American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 28/09/2010
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The aim of this study was to develop methods for evaluating the
American-style option prices when the volatility of the underlying asset is
described by a stochastic process. As part of this problem were developed
techniques for modeling the early exercise surface of the American option.
These methods of present work are compared to the complexity of modeling and
computation speed. The paper presents the semi-analytic expression for the
price of American options with stochastic volatility. The results of numerical
computations and their calibration are also presented. The obtained results
were compared with results excluding the effect of volatility smile.; Comment: 10 pages

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## Pricing and Hedging in Affine Models with Possibility of Default

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

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We propose a general framework for the simultaneous modeling of equity,
government bonds, corporate bonds and derivatives. Uncertainty is generated by
a general affine Markov process. The setting allows for stochastic volatility,
jumps, the possibility of default and correlation between different assets. We
show how to calculate discounted complex moments by solving a coupled system of
generalized Riccati equations. This yields an efficient method to compute
prices of power payoffs. European calls and puts as well as binaries and
asset-or-nothing options can be priced with the fast Fourier transform methods
of Carr and Madan (1999) and Lee (2005). Other European payoffs can be
approximated with a linear combination of government bonds, power payoffs and
vanilla options. We show the results to be superior to using only government
bonds and power payoffs or government bonds and vanilla options. We also give
conditions for European continent claims in our framework to be replicable if
enough financial instruments are liquidly tradable and study dynamic hedging
strategies. As an example we discuss a Heston-type stochastic volatility model
with possibility of default and stochastic interest rates.; Comment: 25 pages, 3 figures

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## Model-independent Superhedging under Portfolio Constraints

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

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In a discrete-time market, we study model-independent superhedging, while the
semi-static superhedging portfolio consists of {\it three} parts: static
positions in liquidly traded vanilla calls, static positions in other tradable,
yet possibly less liquid, exotic options, and a dynamic trading strategy in
risky assets under certain constraints. By considering the limit order book of
each tradable exotic option and employing the Monge-Kantorovich theory of
optimal transport, we establish a general superhedging duality, which admits a
natural connection to convex risk measures. With the aid of this duality, we
derive a model-independent version of the fundamental theorem of asset pricing.
The notion "finite optimal arbitrage profit", weaker than no-arbitrage, is also
introduced. It is worth noting that our method covers a large class of Delta
constraints as well as Gamma constraint.; Comment: 29 pages

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## No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

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We prove a version of First Fundamental Theorem of Asset Pricing under
transaction costs for discrete-time markets with dividend-paying securities.
Specifically, we show that the no-arbitrage condition under the efficient
friction assumption is equivalent to the existence of a risk-neutral measure.
We derive dual representations for the superhedging ask and subhedging bid
price processes of a derivative contract. Our results are illustrated with a
vanilla credit default swap contract.; Comment: Forthcoming in Mathematical Finance

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## Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 02/02/2013
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We propose a continuous time model for financial markets with proportional
transactions costs and a continuum of risky assets. This is motivated by bond
markets in which the continuum of assets corresponds to the continuum of
possible maturities. Our framework is well adapted to the study of no-arbitrage
properties and related hedging problems. In particular, we extend the
Fundamental Theorem of Asset Pricing of Guasoni, R\'asonyi and L\'epinette
(2012) which concentrates on the one dimensional case. Namely, we prove that
the Robust No Free Lunch with Vanishing Risk assumption is equivalent to the
existence of a Strictly Consistent Price System. Interestingly, the presence of
transaction costs allows a natural definition of trading strategies and avoids
all the technical and un-natural restrictions due to stochastic integration
that appear in bond models without friction. We restrict to the case where
exchange rates are continuous in time and leave the general c\`adl\`ag case for
further studies.; Comment: 41 pages

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## Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 23/09/2010
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In this paper new analytical and numerical approaches to valuating
path-dependent options of European type have been developed. The model of
stochastic volatility as a basic model has been chosen. For European options we
could improve the path integral method, proposed B. Baaquie, and generalized it
to the case of path-dependent options, where the payoff function depends on the
history of changes in the underlying asset. The dependence of the implied
volatility on the parameters of the stochastic volatility model has been
studied. It is shown that with proper choice of model parameters one can
accurately reproduce the actual behavior of implied volatility. As a
consequence, it can assess more accurately the value of options. It should be
noted that the methods developed here allow evaluating options with any payoff
function.; Comment: 16 pages, 5 figures

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## Expected Cash Flow: A Novel Model Of Evaluating Financial Assets

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 19/04/2014
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The present paper provides the basis for a novel financial asset pricing
model that could avoid the shortcomings of, or even completely replace the
traditional DCF model. The model is based on Brownian motion logic and expected
future cash flow values. It can be very useful for Islamic Finance.; Comment: 7 pages, 7 equations, 2 figures

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## Arbitrage in markets with bid-ask spreads

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 12/07/2014
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#Quantitative Finance - Pricing of Securities#Mathematics - Probability#Quantitative Finance - Portfolio Management#91G80, 60G42, 60G40, 91B25

In this paper a finite discrete time market with an arbitrary state space and
bid-ask spreads is considered. The notion of an equivalent bid-ask martingale
measure (EBAMM) is introduced and the fundamental theorem of asset pricing is
proved using (EBAMM) as an equivalent condition for no-arbitrage. The
Cox-Ross-Rubinstein model with bid-ask spreads is presented as an application
of our results.; Comment: 18 pages, 3 figures

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