# A melhor ferramenta para a sua pesquisa, trabalho e TCC!

Página 1 dos resultados de 55 itens digitais encontrados em 0.002 segundos

## Ensaios em finanças quantitativas: apreçamento de derivativos multidimensionais via processos de Lévy, e topologia e propagação do risco sistêmico; Essays in quantitative finance: multidimensional derivative pricing via Lévy processes, and systemic risk topology na risk propagation

Fonte: Biblioteca Digitais de Teses e Dissertações da USP
Publicador: Biblioteca Digitais de Teses e Dissertações da USP

Tipo: Tese de Doutorado
Formato: application/pdf

Publicado em 24/03/2010
Português

Relevância na Pesquisa

39.022297%

#Contagion#Default#derivaties#Derivativos#Dynamic copulas#Grafos aleatórios#Interbank#Lévy processes#Mercado financeiro#Movimento browniano#Processos de Piosson

Este estudo contempla dois ensaios em finanças quantitativas, relacionados, respectivamente, a modelos de apreçamento e risco sistêmico. No Capitulo 1, e apresentado uma alternativa para modelar opções multidimensionais, cujas estruturas de ganhos e perdas dependam das trajetórias dos processos dos preços dos ativos objetos. A modelagem sugerida considera os processos de Levy, uma classe de processos estocásticos bastante ampla, que permite a existência de saltos (descontinuidades) no processo dos preços dos ativos financeiros, e tem como caso particular o movimento Browniano. Para escrever a dependência entre os processos, os conceitos estáticos de copulas ordinárias são estendidos para o contexto dos processos de Levy, levando em consideração a medida de Levy, que caracteriza o comportamento dos saltos. São realizados estudos comparativos entre as copulas dinâmicas de Clayton e de Frank, no apreçamento dos contratos derivativos do tipo asiático, utilizando-se processos gama e técnicas de simulação de Monte Carlo. No Capitulo 2, a estrutura e dinâmica interbancária das exposições mutuas entre as instituições financeiras no Brasil e explorada bem como o capital destas reservas, utilizando um conjunto de dados únicos que considera vários períodos entre 2007 e 2008. Para isto e mostrado que a rede de exposições pode ser modelada adequadamente como um gráfico estocástico dirigido de escala - livre (ponderada) seguindo distribuições que apresentam caudas grossas. A relação entre as conexões das instituições financeiras e seu colchão-de-capital também são investigados neste estudo. Finalmente...

Link permanente para citações:

## Econometric Asset Pricing Modelling

Fonte: Oxford University Press
Publicador: Oxford University Press

Tipo: Artigo de Revista Científica
Formato: text/html

Português

Relevância na Pesquisa

49.23206%

The purpose of this paper is to propose a general econometric approach to no-arbitrage asset pricing modelling based on three main ingredients: (i) the historical discrete-time dynamics of the factor representing the information, (ii) the stochastic discount factor (SDF), and (iii) the discrete-time risk-neutral (RN) factor dynamics. Retaining an exponential-affine specification of the SDF, its modelling is equivalent to the specification of the risk-sensitivity vector and of the short rate, if the latter is neither exogenous nor a known function of the factor. In this general framework, we distinguish three modelling strategies: the direct modelling, the RN constrained direct modelling, and the back modelling. In all the approaches, we study the internal consistency conditions (ICCs), implied by the absence of arbitrage opportunity assumption, and the identification problem. The general modelling strategies are applied to two important domains: security market models and term structure of interest rates models. In these contexts, we stress the usefulness (and we suggest the use) of the RN constrained direct modelling and of the back modelling approaches, both allowing us to conciliate a flexible (non-Car) historical dynamics and a Car (compound autoregressive) RN dynamics leading to explicit or quasi-explicit pricing formulas for various derivative products. Moreover...

Link permanente para citações:

## 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

Português

Relevância na Pesquisa

38.546216%

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.

Link permanente para citações:

## International Asset Allocations and Capital Flows : The Benchmark Effect

Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC

Português

Relevância na Pesquisa

48.910684%

#ACCOUNTING#ACTIVE MANAGEMENT#ACTIVE SHARE#AGENCY PROBLEMS#ARBITRAGE#ASSET ALLOCATION#ASSET ALLOCATIONS#ASSET CLASS#ASSET LIQUIDATION#ASSET MANAGEMENT#ASSET MANAGERS

This paper studies channels through
which well-known benchmark indexes impact asset allocations
and capital flows across countries. The study uses unique
monthly micro-level data of benchmark compositions and
mutual fund investments during 1996-2012. Benchmarks have
important effects on equity and bond mutual fund portfolios
across funds with different degrees of activism. Benchmarks
explain, on average, around 70 percent of country
allocations and have significant impact even on active
funds. Benchmark effects are important after controlling for
industry, macroeconomic, and country-specific, time-varying
effects. Reverse causality does not drive the results.
Exogenous, pre-announced changes in benchmarks result in
movements in asset allocations mostly when these changes are
implemented (not when announced). By impacting country
allocations, benchmarks affect capital flows across
countries through direct and indirect channels, including
contagion. They explain apparently counterintuitive
movements in capital flows...

Link permanente para citações:

## Esscher transforms and consumption-based models

Fonte: Elsevier Science BV
Publicador: Elsevier Science BV

Tipo: Artigo de Revista Científica

Publicado em //2009
Português

Relevância na Pesquisa

39.269363%

#Esscher transform#Esscher–Girsanov transform#Consumption-based model#Stochastic discount factor#Exponential affine form#Euler equation#Radon–Nikodym derivative#Utility function

The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated extensively. However, the relationships between the asset pricing model based on the Esscher transform and some fundamental equilibrium-based asset pricing models, such as consumption-based models, have so far not been well-explored. In this paper, we attempt to bridge the gap between consumption-based models and asset pricing models based on Esscher-type transformations in a discrete-time setting. Based on certain assumptions for the distributions of asset returns, changes in aggregate consumptions and returns on the market portfolio, we construct pricing measures that are consistent with those arising from Esscher-type transformations. Explicit relationships between the market price of risk, and the risk preference parameters are derived for some particular cases.; http://www.elsevier.com/wps/find/journaldescription.cws_home/505554/description#description; Alex Badescu, Robert J. Elliott and Tak Kuen Siu

Link permanente para citações:

## Asset pricing using finite state Markov chain stochastic discount functions

Fonte: Marcel Dekker Inc
Publicador: Marcel Dekker Inc

Tipo: Artigo de Revista Científica

Publicado em //2012
Português

Relevância na Pesquisa

79.43673%

This article fuses two pieces of theory to make a tractable model for asset pricing. The first is the theory of asset pricing using a stochastic discounting function (SDF). This will be reviewed. The second is to model uncertainty in an economy using a Markov chain. Using the semi-martingale dynamics for the chain these models can be calibrated and asset valuations derived. Interest rate models, stock price models, futures pricing, exchange rates can all be introduced endogenously in this framework.; John van der Hoek and Robert J. Elliott

Link permanente para citações:

## Arbitrage-Based Pricing when Volatility is Stochastic.

Fonte: Université de Montréal
Publicador: Université de Montréal

Tipo: Artigo de Revista Científica
Formato: 2019964 bytes; application/pdf

Português

Relevância na Pesquisa

48.44551%

#[JEL:D80] Microeconomics - Information, Knowledge, and Uncertainty - General#[JEL:D81] Microeconomics - Information, Knowledge, and Uncertainty - Criteria for Decision-Making under Risk and Uncertainty#[JEL:G10] Financial Economics - General Financial Markets - General#[JEL:G11] Financial Economics - General Financial Markets - Portfolio Choice#Investment Decisions#[JEL:G12] Financial Economics - General Financial Markets - Asset Pricing#Trading volume#Bond Interest Rates#[JEL:D80] Microéconomie - Information et incertain - Généralités#[JEL:D81] Microéconomie - Information et incertain - Critères de prise de décision sous le risque et l'incertain#[JEL:G10] Économie financière - Marchés financiers généraux - Généralités

The paper investigates the pricing of derivative securities with calendar-time maturities.

Link permanente para citações:

## Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

49.4994%

#Quantitative Finance - Computational Finance#Mathematics - Spectral Theory#Quantitative Finance - Pricing of Securities

Using tools from spectral analysis, singular and regular perturbation theory,
we develop a systematic method for analytically computing the approximate price
of a derivative-asset. The payoff of the derivative-asset may be
path-dependent. Additionally, the process underlying the derivative may exhibit
killing (i.e. jump to default) as well as combined local/nonlocal stochastic
volatility. The nonlocal component of volatility is multiscale, in the sense
that it is driven by one fast-varying and one slow-varying factor. The
flexibility of our modeling framework is contrasted by the simplicity of our
method. We reduce the derivative pricing problem to that of solving a single
eigenvalue equation. Once the eigenvalue equation is solved, the approximate
price of a derivative can be calculated formulaically. To illustrate our
method, we calculate the approximate price of three derivative-assets: a
vanilla option on a defaultable stock, a path-dependent option on a
non-defaultable stock, and a bond in a short-rate model.

Link permanente para citações:

## 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
Português

Relevância na Pesquisa

48.70541%

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...

Link permanente para citações:

## An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 14/07/2008
Português

Relevância na Pesquisa

59.14431%

A new framework for asset pricing based on modelling the information
available to market participants is presented. Each asset is characterised by
the cash flows it generates. Each cash flow is expressed as a function of one
or more independent random variables called market factors or "X-factors". Each
X-factor is associated with a "market information process", the values of which
become available to market participants. In addition to true information about
the X-factor, the information process contains an independent "noise" term
modelled here by a Brownian bridge. The information process thus gives partial
information about the X-factor, and the value of the market factor is only
revealed at the termination of the process. The market filtration is assumed to
be generated by the information processes associated with the X-factors. The
price of an asset is given by the risk-neutral expectation of the sum of the
discounted cash flows, conditional on the information available from the
filtration. The theory is developed in some detail, with a variety of
applications to credit risk management, share prices, interest rates, and
inflation. A number of new exactly solvable models are obtained for the price
processes of various types of assets and derivative securities; and a novel
mechanism is proposed to account for the dynamics of stochastic volatility and
dynamic correlation. A discrete-time version of the information-based framework
is also developed...

Link permanente para citações:

## Non-Parametric Extraction of Implied Asset Price Distributions

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 26/07/2006
Português

Relevância na Pesquisa

38.445508%

#Physics - Data Analysis, Statistics and Probability#Physics - Physics and Society#Quantitative Finance - Pricing of Securities

Extracting the risk neutral density (RND) function from option prices is well
defined in principle, but is very sensitive to errors in practice. For risk
management, knowledge of the entire RND provides more information for
Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typically,
RNDs are deduced from option prices by making a distributional assumption, or
relying on implied volatility [2]. We present a fully non-parametric method for
extracting RNDs from observed option prices. The aim is to obtain a continuous,
smooth, monotonic, and convex pricing function that is twice differentiable.
Thus, irregularities such as negative probabilities that afflict many existing
RND estimation techniques are reduced. Our method employs neural networks to
obtain a smoothed pricing function, and a central finite difference
approximation to the second derivative to extract the required gradients.
This novel technique was successfully applied to a large set of FTSE 100 daily
European exercise (ESX) put options data and as an Ansatz to the corresponding
set of American exercise (SEI) put options. The results of paired t-tests
showed significant differences between RNDs extracted from ESX and SEI option
data, reflecting the distorting impact of early exercise possibility for the
latter. In particular...

Link permanente para citações:

## Mirror-time diffusion discount model of options pricing

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

38.445508%

#Quantitative Finance - Pricing of Securities#Nonlinear Sciences - Adaptation and Self-Organizing Systems#Nonlinear Sciences - Exactly Solvable and Integrable Systems#Physics - Physics and Society

The proposed model modifies option pricing formulas for the basic case of
log-normal probability distribution providing correspondence to formulated
criteria of efficiency and completeness. The model is self-calibrating by
historic volatility data; it maintains the constant expected value at maturity
of the hedged instantaneously self-financing portfolio. The payoff variance
dependent on random stock price at maturity obtained under an equivalent
martingale measure is taken as a condition for introduced "mirror-time"
derivative diffusion discount process. Introduced ksi-return distribution,
correspondent to the found general solution of backward drift-diffusion
equation and normalized by theoretical diffusion coefficient, does not contain
so-called "long tails" and unbiased for considered 2004-2007 S&P 100 index
data. The model theoretically yields skews correspondent to practical term
structure for interest rate derivatives. The method allows increasing the
number of asset price probability distribution parameters.; Comment: 22 pages, 3 figures

Link permanente para citações:

## Valuation of asset and volatility derivatives using decoupled time-changed L\'evy processes

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

39.352017%

In this paper we propose a general derivative pricing framework which employs
decoupled time-changed (DTC) L\'evy processes to model the underlying asset of
contingent claims. A DTC L\'evy process is a generalized time-changed L\'evy
process whose continuous and pure jump parts are allowed to follow separate
random time scalings; we devise the martingale structure for a DTC
L\'evy-driven asset and revisit many popular models which fall under this
framework. Postulating different time changes for the underlying L\'evy
decomposition allows to introduce asset price models consistent with the
assumption of a correlated pair of continuous and jump market activities; we
study one illustrative DTC model having this property by assuming that the
instantaneous activity rates follow the the so-called Wishart process. The
theory developed is applied to the problem of pricing claims depending not only
on the price or the volatility of an underlying asset, but also to more
sophisticated derivatives that pay-off on the joint performance of these two
financial variables, like the target volatility option (TVO). We solve the
pricing problem through a Fourier-inversion method; numerical computations
validating our technique are provided.; Comment: 30 Pages...

Link permanente para citações:

## Adapted Downhill Simplex Method for Pricing Convertible Bonds

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 01/10/2007
Português

Relevância na Pesquisa

38.620815%

The paper is devoted to modeling optimal exercise strategies of the behavior
of investors and issuers working with convertible bonds. This implies solution
of the problems of stock price modeling, payoff computation and min-max
optimization.
Stock prices (underlying asset) were modeled under the assumption of the
geometric Brownian motion of their values. The Monte Carlo method was used for
calculating the real payoff which is the objective function. The min-max
optimization problem was solved using the derivative-free Downhill Simplex
method.
The performed numerical experiments allowed to formulate recommendations for
the choice of appropriate size of the initial simplex in the Downhill Simplex
Method, the number of generated trajectories of underlying asset, the size of
the problem and initial trajectories of the behavior of investors and issuers.; Comment: 18 pages, 8 figures

Link permanente para citações:

## A Fourier transform method for spread option pricing

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 20/02/2009
Português

Relevância na Pesquisa

48.57056%

Spread options are a fundamental class of derivative contract written on
multiple assets, and are widely used in a range of financial markets. There is
a long history of approximation methods for computing such products, but as yet
there is no preferred approach that is accurate, efficient and flexible enough
to apply in general models. The present paper introduces a new formula for
general spread option pricing based on Fourier analysis of the spread option
payoff function. Our detailed investigation proves the effectiveness of a fast
Fourier transform implementation of this formula for the computation of prices.
It is found to be easy to implement, stable, efficient and applicable in a wide
variety of asset pricing models.; Comment: 16 pages, 3 figures

Link permanente para citações:

## Pricing formulas, model error and hedging derivative portfolios

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 31/08/2001
Português

Relevância na Pesquisa

48.57056%

#Condensed Matter - Disordered Systems and Neural Networks#Quantitative Finance - Pricing of Securities

We propose a method for extending a given asset pricing formula to account
for two additional sources of risk: the risk associated with future changes in
market--calibrated parameters and the remaining risk associated with
idiosyncratic variations in the individual assets described by the formula. The
paper makes simple and natural assumptions for how these risks behave. These
extra risks should always be included when using the formula as a basis for
portfolio management. We investigate an idealized typical portfolio problem,
and argue that a rational and workable trading strategy can be based on
minimizing the quadratic risk over the time intervals between trades. The
example of the variance gamma pricing formula for equity derivatives is
explored, and the method is seen to yield tractable decision strategies in this
case.; Comment: 16 pages, 1 figure

Link permanente para citações:

## Minimax Option Pricing Meets Black-Scholes in the Limit

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 12/02/2012
Português

Relevância na Pesquisa

38.620815%

#Quantitative Finance - Computational Finance#Computer Science - Computer Science and Game Theory#Quantitative Finance - Pricing of Securities

Option contracts are a type of financial derivative that allow investors to
hedge risk and speculate on the variation of an asset's future market price. In
short, an option has a particular payout that is based on the market price for
an asset on a given date in the future. In 1973, Black and Scholes proposed a
valuation model for options that essentially estimates the tail risk of the
asset price under the assumption that the price will fluctuate according to
geometric Brownian motion. More recently, DeMarzo et al., among others, have
proposed more robust valuation schemes, where we can even assume an adversary
chooses the price fluctuations. This framework can be considered as a
sequential two-player zero-sum game between the investor and Nature. We analyze
the value of this game in the limit, where the investor can trade at smaller
and smaller time intervals. Under weak assumptions on the actions of Nature (an
adversary), we show that the minimax option price asymptotically approaches
exactly the Black-Scholes valuation. The key piece of our analysis is showing
that Nature's minimax optimal dual strategy converges to geometric Brownian
motion in the limit.; Comment: 19 pages

Link permanente para citações:

## Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

39.252996%

We use a continuous version of the standard deviation premium principle for
pricing in incomplete equity markets by assuming that the investor issuing an
unhedgeable derivative security requires compensation for this risk in the form
of a pre-specified instantaneous Sharpe ratio. First, we apply our method to
price options on non-traded assets for which there is a traded asset that is
correlated to the non-traded asset. Our main contribution to this particular
problem is to show that our seller/buyer prices are the upper/lower good deal
bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko
(2006) and to determine the analytical properties of these prices. Second, we
apply our method to price options in the presence of stochastic volatility. Our
main contribution to this problem is to show that the instantaneous Sharpe
ratio, an integral ingredient in our methodology, is the negative of the market
price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar
(2000).; Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe
ratio, correlated assets, stochastic volatility, non-linear partial
differential equations, good deal bounds

Link permanente para citações:

## A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 17/06/2014
Português

Relevância na Pesquisa

49.597163%

#Quantitative Finance - Pricing of Securities#Quantitative Finance - Mathematical Finance#91G20, 60J70, 93C41

A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its
state variable is studied under partial information: the mean-reverting level
and the mean-reverting speed parameters are modeled as hidden/unobservable
stochastic variables. No-arbitrage pricing formulas for derivative securities
written on a liquid asset and exponential utility indifference pricing formulas
for derivative securities written on an illiquid asset are presented. Moreover,
a conditionally linear filtering result is introduced to compute the
pricing/hedging formulas and the Bayesian estimators of the hidden variables.; Comment: 21 pages

Link permanente para citações:

## Continuous-time stochastic analysis of optimal experimentation and of derivative asset pricing.

Fonte: London School of Economics and Political Science Thesis
Publicador: London School of Economics and Political Science Thesis

Tipo: Thesis; NonPeerReviewed
Formato: application/pdf

Publicado em //1995
Português

Relevância na Pesquisa

69.643423%

This thesis applies continuous-time stochastic techniques to problems in economics of information and financial economics. The first part of the thesis uses non-linear filtering and stochastic control theory to study a continuous-time model of optimal experimentation by a monopolist who faces an unknown demand curve subject to random changes. It is shown that different probabilities of a demand curve switch can lead to qualitatively very different optimal behaviour. Moreover, the dependence of the optimal policy on these switching probabilities is discontinuous. This suggests that a market or an economy embedded in a changing environment may alter its behaviour dramatically if the volatility of the environment passes a critical threshold. The second part of the thesis studies continuous-time models of derivative asset pricing. First, a review of the so-called direct approach to debt option pricing emphasises the principal modeling problems of this approach and highlights the shortcomings of certain models proposed in the literature. Next, the connection between martingale measures and numeraire portfolios is exploited in problems of option pricing with strict upper and lower bounds on the underlying financial variable. This leads to a new decomposition of option prices in terms of exercise probabilities calculated under particular martingale measures and allows a simple proof of certain generalisations of the Black-Scholes option price formula. Finally...

Link permanente para citações: