Volatility model risk measurement and against worst case volatilities
Risklab project in model risk (2000)
Journal de la société française de statistique
Similarity:
Risklab project in model risk (2000)
Journal de la société française de statistique
Similarity:
Wang, J.K. (2001)
Discrete Dynamics in Nature and Society
Similarity:
Martin Šmíd, Miloš Kopa (2017)
Kybernetika
Similarity:
We model a market with multiple liquidity takers and a single market maker maximizing his discounted consumption while keeping a prescribed probability of bankruptcy. We show that, given this setting, spread and price bias (a difference between the midpoint- and the expected fair price) depend solely on the MM's inventory and his uncertainty concerning the fair price. Tested on ten-second data from ten US electronic markets, our model gives significant results with the price bias decreasing...
Krzysztof Turek (2016)
Applicationes Mathematicae
Similarity:
The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques...
Jakub Szotek (2015)
Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica
Similarity:
In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.
Lane P. Hughston, Andrea Macrina (2008)
Banach Center Publications
Similarity:
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing...
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
Similarity:
McCauley, Joseph L., Küffner, Cornelia M. (2004)
Discrete Dynamics in Nature and Society
Similarity:
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
Similarity:
Marek Andrzej Kociński (2010)
Applicationes Mathematicae
Similarity:
Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
Similarity:
Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
Similarity:
Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
Similarity: