derivatives pricing
Global Economic and Financial Crises Advanced Stressed Derivatives Pricing Models
... There were so many attempts by both the markets Practitioners and Academics to improve on the existing derivatives models more especially at the stress periods, unfortunately, up to this date of writing this ...
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Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
... There are limitations with the perturbation technique developed in this paper which a potential user should be aware of. First, only a limited number of models have been solved in this paper, and we have only tested the ...
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Derivatives pricing in a Markov chain jump diffusion setting
... price derivatives of the short rate for each of the models without having to solve the partial differential equations in the previous section, and subsequently we will discuss how to estimate parameter ...
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Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
... financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing ...valuing derivatives ...
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Essays on portfolio allocation and derivatives pricing with Lévy processes
... Carr and Wu (2004) develop a brilliant idea to overcome the drawback and embed the leverage effect into time-changed L´ evy models. They use a complex measure change to disentangle the connection between the time-change ...
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Stochastic calculus and derivatives pricing in the Nigerian stock market
... option pricing formulas for instance foreign exchange options require correlation estimates, many others have used option prices to derive implied correlation measures for currency options including Lopez and ...
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Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps
... The implications of this research are important for various stakeholders in the industry adding to their understanding of the freight market dynamics, as, for market participants, the main con- sideration is that the ...
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QUANTIFYING MODEL RISK IN CREDIT DERIVATIVES PRICING
... We next consider how we can use our Green’s function to price a credit default swap (CDS) 246. analytically under an assumed rates-credit correlation[r] ...
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Detecting abnormalities in the Brent crude oil commodities and derivatives pricing complex
... the pricing mechanisms of crude oil derivatives to the fore of both popular press and policy ...derivative pricing, relatively little work has been done to explore the potential for, and evidence of, ...
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The vanna volga method for derivatives pricing
... The greeks are available in closed form not just for vanilla options (A.7)–(A.12) but also for barrier options. Nevertheless, following Castagna (2009), without substantial loss of computing time or accuracy, it is ...
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Alpha root Processes for Derivatives pricing
... Abstract A class of mean reverting positive stochastic processes driven by 𝛼−stable distributions, referred to here as 𝛼−root processes in analogy to the square root process Cox-Ingersol[r] ...
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Derivatives Pricing via Machine Learning
... We can generalize the theory in [96] and [97] to approximate the transition density of a multivariate time-inhomogeneous stochastic differential equation with jumps. According to [96] and [97], the transition density of ...
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Affine-Structure Models and the Pricing of Energy Commodity Derivatives
... by several authors including Routledge et al. (2000) and Borovkova and Geman (2006). In addition, commodity prices mean-revert to the marginal cost of production; relevant the- oretical arguments and empirical evidence ...
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Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA
... on derivatives pricing and introduce funding value ...collateralized derivatives, where collateral is assumed to be cash denominated in the deal’s ...eralized derivatives when the deal and the ...
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Online Full Text
... for pricing complex derivatives, and sometimes the only practical one, is Monte Carlo ...in derivatives pricing are often parallelisable, one way to reduce the computing time is to use ...
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The Pricing of Credit Derivatives and Estimation of Default Probability
... In this article, the credit derivatives pricing is based on the Vasicek model. Because of this, we first introduce the Vasicek model in short. The Vasicek model is proposed by Vasicek (1977), to set a price ...
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A Closed Form Approximation for Pricing Temperature Based Weather Derivatives
... temperature-based derivatives can provide a hedging tool for fluctuations in wholesale elec- tricity ...weather derivatives are based on temperature indices such as heating degree days and cooling degree ...
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Pricing of Volatility Derivatives using 3/2- Stochastic Models
... The VIX was introduced by Whaley [17] and has become of particular interest in recent years with the introduction of VIX futures contracts in 2004 and of options on the VIX in 2006. These offered investors new ...
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Multi Factor Bottom Up Model for Pricing Credit Derivatives
... The validity of exchanging the order of differentiation and expectation in Eq.(A13) can be verified if Λ(t) ≥ 0 for all t, which is true in our consideration here since Λ(t), as a cumulative intensity, is always ...
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Doubly stochastic point processes in reinsurance and the pricing of catastrophe insurance derivatives
... There has been discussion and research into the possibility of using catastrophe insurance futures and options contracts rather than conventional reinsurance contracts (see Lomax & Lowe (1994), Smith (1994), Ryan ...
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